I found out today that Silverlight actually supports two installation methods.  The standard installation method will actually redirect the user to the Microsoft website to download and install Silverlight.  They will see a logo such as:

Default Silverlight Installation Logo

The other installation method is an inline installer method that will keep the user on your site. Your users will see a logo such as:

Inline Silverlight Installation Logo

According the MSDN docs, to have the inline installer it's as simple as setting the inplaceInstallPrompt property to true. You can find this property defined in your CreateSilverlight.js file that is usually created for you wheny ou create a Silverlight project in Visual Studio or Expression Design.