>>I thought the standard method for deploying Visual FoxPro 9.0 applications is InstallShield Express, and that it comes included on the VFP CD. However, while trying to install it, and briefly going through the license agreement, I see a legal problem there: it seems it is distributed as "Evaluation software", and the license agreement states: "...you may not use the Evaluation Software to create publicly distributed computer software or for any other commercial purpose." So, how am I (or my clients) supposed to distribute commercial software?
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>Use Inno setup builder - http://www.jrsoftware.org/ - you'll learn it in a couple of hours, and you won't have to mess with merge modules etc. You just write a script with simple enough syntax. And there's a builder for your initial scripts, and samples on Fox Wiki.

Thanks to everyone for the feedback - for now, I did some experiments and suggested my client to copy the DLLs manually to the same folder as the EXE. If installations on a larger scale are ever required, I'll try to automate it with Inno Setup.