I'm sorry, but I think I haven't described the problem very well.
In Media tab I chose "Package Type"=>"EXE setup with resources next to it" and in "Output" section "Msi Subfolder" field - "MSI".
So the final layout is the following:
DVD/setup root
|
⌊_ MyAppMain.exe
⌊_ MyAppTiny.exe
⌊_ MSI ...