I am learning Wix and I want to generate a setup.exe file instead of a setup.msi.
Is that possible?
A setup EXE is usually referred to as a bootstrapper or chainer. WiX 3.5 will ship with an executable called burn.exe, unfortunately this is still under heavy development.
If you're just after a basic self-extracting EXE with no additional logic you can use the included setupbld.exe with WiX. However it's pretty limited and only includes the most basic functionality.
Alternatively, 7-zip includes basic functionality for creating a setup.exe from an existing MSI. You will need to install the SFXs for installers addon first.
If you're after additional logic, dependency checking, etc. there are loads of alternatives. Personally I use IRMakeBootstrap, but have heard very good things about dotNetInstaller on the wix-users mailing list.