The Finish page, which is the last page of the wizard, contains two options:
Create/Update Script You can generate an Inno Script file only, or build the entire setup (setup.exe). The Inno Script file is stored in {ProjectLocation}\Output directory. You can change the file you generate. However, any subsequent Inno Script files overwrite your changes.
Compile Installer If selected, when you click the finish button, the wizard builds a setup.exe file in {ProjectLocation}\Output\Setup. All of the files that the setup location requires are also stored here. The complete Setup directory is your "Installer". Redistribute everything in the Setup directory to ensure that your setup succeeds when it runs on a user machine.