Creating an msi install package

I need to create an msi install package from Visual Studio 2010.  The first step in the instructions says to open your project, right click on your project name in the solutions window, click Add=>New Project.

When I do this "New Project" does not appear as a choice.  I have tried the solution I found to go through Tools, import and export settings. and reset settings but it works sporadically and "New Project" sometimes appears but always disappears.

What do I need to do?

Thanks