Roughly translated, this error message means "Cannot built setup, dependent project is missing, missing a reference or a referenced file for a project cannot be found."
For example, add a project output to the setup file, and apply one of the content files to the setup (I.e. use an icon for the add/remove programs icon). Remove the project out, then re-add it. Visual studio will then give you this error (despite the project output being in there!!)... Everytime an output is removed, you must re-reference all of the dependencies.
If it is not this specific issue, then there is something wrong with your projects. Look up the projects' references and see if they are all correct. Try to compile the projects as well, this is a good indication that you aren't adding projects with errors to your set-up!