Help with making .msi packages and group policy

When using a MSI packaging tool what do I want to put into the package? I want to install applications/programs though Group Policy to multiple clients. But whenever I make one it installs to the start menu but none of them work.

For example if I wanted to install Ad-Aware to clients with group policy. Do I just package the install.exe or do I install it and package the actual folder where I installed ad-aware?

Starting to really frustrate me it shouldn’t be that hard.
Thanks for any input.