Creating MSI files

Hi Guyz

I have a little problem here.
I use Advanced Installer to convert exe files to msi files.

Here there is a program which have 6 exe's and do not know how to go about it.

I tried to select all exe's and convert into one MSI file but its giving me error when i run the program.

Someone recommended me to create msi for each exe's files and merge into one msi but i believe there is no such option in the software to merge number of msi into one.

can anyone have experience in creating msi files, pleaes let me know.

thanks
srikant