In some deployment scenarios it is not possible to bundle everything into a single installer. This may be because you need to install some third-party software, or because your build process forces you to split a single product across multiple MSIs.
Although there is not much in the WiX documentation about this, it is possible to chain multiple MSI installers in a setup.exe wrapper so that the installers execute one after the other. The key to this is the setupbld.exe command-line tool that comes with the WiX 3.0 installation. Jon Torresdal has written a useful article on using setupbld.exe to force elevated privileges for an installer under Vista, and I recommend starting there for an explanation of how to prepare your build to generate setup.exe files. In addition to doing this, setupbld.exe can combine multiple MSI files into a single setup.exe installer. To do this use a command line like:
setupbld.exe -out $(TargetDir)setup.exe -msu FirstInstaller.msi -msu SecondInstaller.msi -setup $(ProjectDir)setup.exe