You need to add the configuration project to your solution to build the installer executable.
Unfortunately, Microsoft removed its installation project template from Visual Studio 2012 onwards, which would do the job.
This means that you are stuck in one of the alternatives that are either less functional, more difficult to configure, or expensive.
NOTE. Scroll down to EDIT 3 for my recommended solution. The rest of this post is just to highlight alternatives.
If you need a free route, you can add it to InstallShield Limited Edition in Visual Studio and use it to create a configuration project for your solution. It will work for Windows service installation projects in the latest version, but is usually considered pretty junk and limited. Here are the instructions for this: link
WiX is a free, open source alternative that is much more functional but difficult to configure.
EDIT -
This describes how to use WiX to create an installation project: http://www.schiffhauer.com/wix-template-for-installing-a-windows-service/
EDIT 2 -
Today (04/22/2014) Microsoft has restored the installation project in Visual Studio 2013 as an extension of Visual Studio - see this post
I have not tried it myself, but this is apparently the same as the VS2010 installation project, which was not too complicated to study (and there was a lot of information available on the Internet), I would definitely recommend that you try this for creating your setup program!
EDIT 3 (April 2016) -
I highly recommend that you use the Visual Studio Installer Projects Extension (as mentioned above) to create simple installers for your Windows services (and other programs). The creators he creates are simple, but professional enough to look good for simple or small projects.
Extension for Visual Studio 2013 is here
Extension for Visual Studio 2015 here
The extension for Visual Studio 2017 is here
In an article describing how to create an installation project for a Windows service using the old VS2010 installation project, here . Although this is an old article, it can be applied directly to the new Project Installer extensions mentioned above. (Thanks to EbbnFlow for the link)