Yup, it can be done. How depends somewhat on how you're deploying the setup.exe, but typically for standalone installers you can either use the default user interface, tweak the default user interface, or define your own completely.
For example, in Visual Studio's Setup & Deployment project (.vdproj), if you right click on the project and choose User Interface from the View menu, you can fiddle with the install wizard views. You can also use custom actions to get a little more flexibility.
With something like WiX, you get much more control over the UI, but at the cost of a steep learning curve for the declarative XML language. I actually prefer WiX if any kind of customization beyond UI banners is needed, otherwise the standard Setup & Deployment project is easier to build and maintain.
InnoSetup is also popular because it has an expressive scripting language. I haven't done much UI customization from InnoSetup though, so I'm not qualified to provide details on your question.