I’ve used a script to place a checkbox “Launch [ProductName]” on the final form of the MSI. I cannot take any credit for the script though. You can find the script over on Aaron Stebner’s blog at MSDN http://blogs.msdn.com/astebner/archive/2006/08/12/696833.aspx
There’s an interesting article about it on CodeProject and some good answers there also (which is where I found Aaron’s article).
http://www.codeproject.com/KB/install/Installation.aspx
Finally, there’s also some other similar questions on StackOverflow
How to run executable at end of Setup Project?
How to automatically start my application when my setup is done in C# setup project