MnM - Fortunately you do not have to write your own setup program.
Like you, I have VB apps that only reside on a server and are accessed by a desktop icon on several PCs. This method works fairly well for me.
You can use the Package & Deployment wizard (it's a part of VB 6) to create your setup executable. I deploy that to my Install-server.
At each PC, I browse into the Install server and run the setup for my new app. This (most of the time) installs and registers the .dlls, ocxs that are needed by the app.
Many of the VB experts (I'm not one yet) that participate in this forum recommend using a more robust installer... such as InstallShield. I think it depends on the complexity of your VB app. I would suggest trying the P & D wizard which you already have. My experience has been that it is common to encounter problems when installing apps on several PCs and that the app may run fine on all but 1 of the machines.
If you run into problems like that, post back to this forum and someone will help you.
Good luck, John