Did you follow exactly the steps documented in the Help
Here is some info I found, not sure if this is relevant http://community.macrovision.com/showthread.php t=13682
It sounds as though you failed to reference and include your compiled .exe within the InstallShield LE setup.
Walkthrough: Creating a Visual FoxPro Application Setup Program Using InstallShield Express
http://msdn2.microsoft.com/en-us/library/ms917481.aspx
I am not sure if this is helpful, or not. But there is an alternative which I, and many other VFP Developers have found much easier than InstallShield - a free tool called INNO SETUP.
You can find this tool at http://www.jrsoftware.org/ and an essential (also free add-on) is the ISTool application here: http://www.istool.org/default.aspx/
And Rick Borup has published two comprehensive articles on how to use it to create customizable install packages for VFP Applications. You can find those papers here:
http://www.ita-software.com/foxpage.aspx#papers
The basic difference is that Inno is full-featured and a lot less cumbersome than InstallShield. It's packages are smaller, faster and easier to manage. It also creates screipts that are plain text that you can read and edit to control the package. A little study and you should be up and running with INNO a lot faster than with InstallShield. (It also lets you do all of the likttle things that the free version of InstallShield does not support).