Assuming this is an MSI and not a merge module, and also assuming this is a pre-requisite that your application has a dependency on, the Bootstrapper is your best bet.
You will need to create a custom bootstrapper package that will allow the 3rd party msi to appear in the list displayed under setup project properties -> prerequisites. You will have the option for the msi to be download from the 3rd party web site or to be included in your actual setup.
Check out the manifest generator which will create the necessary XML files in the correct directories: www.codeplex.com/bmg
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