Operating systems are different and they handle software installation in a different fashion. Next-next installers are a very Windows thing. Other OS-es handle adding software quite differently. Do not belive that there is a magic pill that will help you distribute your software in a uniform way (well, apart from Steam maybe). At the very least, users of different OS-es *expect* that adding software will be done differently.
the classic is to use Windows Installer (a.k.a. .msi)
many companies use WIX, an abstraction over WI. It is free, and also open source, if you care about that.
some use InstallShield
many use the Nullsoft installer (NSIS) - also free and open source
you can write your own from scratch, it is relatively easy (if you have even modest Win32 experience). Time consuming if you haven't written an installer before.
On Linux dstributions - there is no such a thing as universal installer They all go out of their way to make it difficult to provide binary packages that can survive more than a few releases/years, let alone compatible across distributions. There are alternatives to WI, such as .deb and .rpm, but I would recommend against going that route if you depend on other packages being installed, as packages get split or renamed over the years. Most software that works even after decades is to basically statically link against everything and do not depend on OS filesystem layout besides ~ and your installation directory. Also, limit your use of OS libraries to the bare minimum - prefer building all dependencies on your own and bundle them with your app (as you would on Windows). Plan to include a shell script that will force the loader to use your libraries instead of the system libraries (as they will be built with a different compiler version, etc).
If you want graphical installer for Linux - there used to be the Loki installer, but I'd recommend to try Steam and link to their libraries. It will be easier for both you and your users.
I've never owned a Mac, so I can't say anything about that.