Another WTF. Visual Studio 2012 is not longer supporting MSI Setup project (.vdproj)
So when I tried to open a setup solution which worked fine in VS2010 it blew up.
WTF: You have to register there and within an hour you will get your own personal key.
WTF: Visual Studio does not have any migration tool so you should reimplement your setup project from scratch.
Fortunately my project was extremely simple and I successfully migrated it.