Users should be able to decide, first of all, whether they even want the program to be installed on their computer or not. It may seem self-evident to you that people are obviously choosing to install a program, but the prime characteristic of a malicious program is that it can be installed without the computer user knowing about it.
Informed consent is made even more explicit through UAC.
Most modern software follows a "click-through" model for licensing; that is, the user agrees to the terms of the license during the installation process as a condition of installing the program. That users seldom read these agreements doesn't mean they're not bound by them, especially if they have clicked the checkbox labeled "I agree to these terms."
Many software packages have options that allow you to change the way the software is installed in certain ways. The most trivial of these lets you decide whether or not you want an icon on the desktop, but in larger applications you can decide which features you want installed.
While programs in the Windows ecosystem are getting better at being less intrusive during the installation process (e.g. registry-free installation), installation is still often a non-trivial operation. Progress bars and other visual aids give an indication that something is actually happening. The final page in the wizard tells you whether or not the installation succeeded.
Finally, the best software packages tell you what to do next. What are the first steps, how to get started, how to get help. Most software, when installed, leaves you with a startup icon, and that's it. Never overestimate the level of expertise of your users; as incredible as it may seem to you, there are still folks that don't know how to find and start software programs they just installed.