Please see my comment to the question. I will answer, but I cannot be sure you are using the same kind of installation/setup project. Please see:
Now, let me explain the background. The "all users" option is not completely a bogus, but… almost; for many applications, it will be. You are not controlling the access to your application by the users at all. This is never needed — the users will have access to it anyway, no matter what you do. (Unless you somehow screw up the application code, of course.
You can simply copy the content of your output directory to appropriate target directory; and all users will be able to use it, except maybe some users with severely limited permission. By the way, Microsoft started to encourage this way of deployment which is most convenient for many users and does not contaminate the system registry. This is my favorite method of deployment.
So, what this "all users" does? Almost nothing. First of all, it affects where the .LNK to your application is placed. If you install the application with the link on the Windows "Start" menu; it is rendered out of the parts added from "Special Folders": one for all users and others for one or more individual folder created per user account. Same goes about the desktop, if you want to add the .LNK there. And your application can also use some directory, under a "Special Folder" or this folder itself, to persist some intermediate data or individual per-user configuration data. This directory can be individual, per user account, or for "all user". And that's it, nothing more.