I have downloaded Wix Toolset v3.9 R2 (Stable) from http://wixtoolset.org/releases/ and installed it on my Windows 10 machine. Visual Studio 2015 Ultimate is installed. I open my Soultion in VS and in the Solution Explorer I want to add a Wix Project. But there is no Wix Project available:
Is there a reason that you're not using the latest version, Wix 3.10.2?
Wix 3.9 RC2 was made available on 2014/07/22, which is probably why it doesn't show up in 2015. You'll probably need to use VS2013 if you specifically need Wix 3.9
Edit: Manually configure VS2015 for older Wix versions