If you can find an installer, which could be any of the package types we've seen (MSI, EXE, MSP, or MSU), that can be easily downloaded from the Internet or a local network, you may choose to download it at the time of installation. That way, the bootstrapper executable that you give to your users will be smaller in size. So, instead of compressing the prerequisite into your bundle you'll provide a link to where it can be downloaded and Burn will get it for you at install time.
You will still need to download the package locally while you do your development. Burn needs to reference it during compilation. However, you'll set the Compressed attribute to no, and provide a DownloadUrl value where the package can be found. Here is an example that downloads and installs SQL Server 2012 Express:
<ExePackage Id="SQLSERVER"
DownloadUrl="$(var.SqlDownloadUrl)"
Name="SQLEXPR_x64_ENU.exe"
Compressed="no"
DetectCondition="SqlInstanceFound...