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Download and install the latest WinBUGS. Then install any updates using the instructions included at the top of the update. Do the same for the license. Now package up installed and working copy using Inno with the following iss file.
<presource lang="ini">
[Setup]
AppName=WinBUGS
Name: "{group}\WinBUGS"; Filename: "{app}\WinBUGS14.exe"
</presource>
To install using WPKG: