An EXE file can be an installer, a program, or just code. An MSI file is a Microsoft Installer file use to install a program using the Windows Installer.

How to Execute MSI Files. An MSI, or Windows Installer, file contains installation information, such as installation packages, for programs that can be installed on Microsoft Windows operating ...

But if you package MSI files in your software, you can use basic VBScript to create a "shell" object that runs Windows commands, including executing these MSI files.