In Advance Installer the components are automatically added.
When you add a resource ( file, registry key/value etc.) to a project in the "Files and Folders" page you can also select to which feature to associate this resource from the "Feature" listBox on the toolbar.
You can also select a resource and move it to a new component. In order to achieve that you can go in the "Organization" page, expand the component, select a resource, right mouse click on it and use the "Move to New Component" option.