Can't create setup project

[Guest]

When I attempt to create a setup project for packaging my system I get
nothing in the Solution Explorer Window and I get nothing in the Add Project
Output Box. This happens both for web projects and window projects. I
followed the instructions to click on File New Project while in the project
that I wish to deploy. I select Windows or web setup and nothing shows up in
any of my windows after that other than the name of the new project. Can
anyone tell me how to deploy my system in a package? Do I have to add
another component to VS 2005?