In wyBuild there is a link button that will show and open the folder where the wyUpdate.exe and wyClient.wyc files were built. The link button only shows when you have done a build. Copy those into your installer project folder (no need to reset the reference path if they are already in the setup project just overwrite the files before the build) and rebuild the setup project.
I am sure someone from wyDay will correct my statement if I am incorrect.