You need to add a setup project to your solution to build an installer executable.
Unfortunately Microsoft removed their setup project template from Visual Studio 2012 onwards, which would have done the job.
This means you are stuck with one of the alternatives, which are either less functional, harder to set up, or expensive.
NOTE - scroll down to EDIT 3 for my recommended solution. The rest of this post is just to highlight alternatives.
If you fancy the free route you can add on InstallShield Limited Edition to Visual studio, and use it to create a setup project for your solution. It will work for windows service setup projects in the latest version, but is generally considered pretty rubbish and limited. Here's the instructions for this: link
WiX is a free open source alternative, which is far more functional, but tricky to set up.
EDIT -
Here's an article describing how to use WiX to create a setup project: http://www.schiffhauer.com/wix-template-for-installing-a-windows-service/
EDIT 2 -
As of today (22/04/2014) Microsoft have reinstated the setup project in Visual Studio 2013 as an Visual studio extension - see this post
I've not tried it myself, but it's presumably the same as the VS2010 setup project, which wasn't too hard to learn (and there's plenty of help available on the internet) I'd definately recommend you try this for creating your setup program!
EDIT 3 (Apr 2016) -
I'd highly recommend you use the Visual Studio Installer Projects Extension (as mentioned in the above edit) for creating simple installers for your windows services (and other programs too). The installers it creates are simple, but professional looking enough for simple or small projects.
The extension for Visual Studio 2013 is here
The extension for Visual Studio 2015 is here
The extension for Visual Studio 2017 is here
An article describing how to create a setup project for a windows service using the old VS2010 Setup project is here. Although this is an old article it can be applied directly to the new Installer Project extensions linked above. (Thanks EbbnFlow for the link)