You have to write a custom action for that, and writing a .NET Installer class derivative won't work. You must write a native custom action (see the Windows Installer SDK for details), and VS.NET does not support that. It can be read from the command-line, though, if you use something like this:
msiexec.exe /i MyPackage.msi URL=http://www.codeproject.com
I suggest you read through the Windows Installer SDK. The VS.NET Windows Installer project is very limited, as I mentioned before. Trust me - I've been working with Windows Installer since 1.0 beta many years ago and have been a consultant for numerous companies for Windows Installer-related development. VS.NET's Installer project is meant to be quick and simple and does not expose a UI for a majority of what's possible.
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