A Wizard is an installation script which when run opens a simple GUI allowing for streamlined installation and configuration of a program.
Wizards are installation programs that allow streamlined installation of the application that they are written for via the use of a simple GUI. Often times when you download a program, you actually download it's installation Wizard, which when run will query the developers website for download of the remaining program files. Other times the entire application is downloaded along with the Wizard which then allows for easy management of patching, configuration of save directory, environment variables, and 3rd party tools.