Andrew,
Sorry, but I fear I can't follow
What displays "To run this application you first install one of the following of the .NET Framework: 4.0/Contact your application publisher...."? Your application or the installer?
And what does "MSI doens't ask me install .net 4.0" mean?
Sorry for my confusion.
You only have to mark the .NET4 checkbox in SetupBuilder and the compiler will package the .NET4 redistributable into your setup.exe. See attached screenshot.
BTW, you can check the %DOTNET4_INSTALLIT% variable after the .NET4 installation process to find out if it succeeded.
To see what the compiler did, you can check the compiler window and the compiler .htm report.
Does this help?
Friedrich