Another WTF. Visual Studio 2012 is no longer supporting MSI Setup project (.vdproj) So when I tried to open a setup solution which worked fine in VS2010 it blew up.
Moreover VS2012 is not shipped with any other setup projects. For whatever reason Microsoft even doesn’t advertise their WiX. Instead of that they recommend to install InstallShield Limited Edition.
WTF: You have to register there and within an hour you will get your own personal key. WTF: Visual Studio does not have any migration tool so you should reimplement your setup project from scratch.
Fortunately my project was extremely simple and I successfully migrated it.