Write protection is a (software based) way to prevent writes to a file, or folder. (USB sticks and memory cards are different, the write protect on those is normally hardware based and requires a physical change to enable or disable.) Your setup program can set a folder to read only - it's in the File class:
File.SetAttributes(folderPath, FileAttributes.ReadOnly);
But...if your program is being installed properly anyway, modern OS's won't let anyone write to the "ProgramFiles" folder or subfolders without Admin access (and an Admin can remove ReadOnly from a folder anyway).
So probably the best thing to do is just let your setup program put the app in the "normal" place, and just create a folder below the app to store your read-only data. Then there is nothing else you should really need to do.