Look up custom actions. That's the usual way to run code during an install.

However normal this may appear,  it's often a bad idea. You have to worry
about new versions of your app, what to do if your code fails and the setup
rolls back leaving a partially created database, or the database gets
deleted and you can't restore it unless you reinstall the product. It's
usually easier to create the database as the first step when your app first
runs.