How to make an application for the user to install before use?

What I am trying to say is, you know how usually when you download some type of program and in order to use it sometimes you have to install it, and the little loading bar displays showing it's result in time. Well how is that possible? Is that more complicated? How can I learn to use that technique. I am just wondering about it because it came into my mind and I just want to know...
Are you talking about making a loading bar or making an installer?
Making an installer.
Look up makefiles.
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