X-Setup wizards are basically collections of plug-ins that are displayed using a wizard window (Back, Next buttons and so on).
By using this technique, both plug-in developers and users win: The user gets an easy-to-use interface and the developer can use his or her existing plug-ins.
Because of this, it's also easy to create your own wizard. For example, if you always use the same three plug-ins but they are located in different places in X-Setup, you could create a wizard and include only these three plug-ins. This way, you simply start your own wizard and don't have to navigate through the plug-ins.
To create your own wizards, you will need the X-Setup SDK which can found at the Xteq Systems homepage.