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http://www.symantec.com/connect/articles/understanding-difference-between-exe-and-msiAdditional Information
Windows Installer features:
With Windows Installer and the .msi package file format, software installation and removal has become more reliable and resilient while providing a larger set of installation options. Windows Installer performs the following tasks:
Restores original computer state upon installation failure: Windows Installer keeps track of all changes made to the system during the application installation process. If the installation fails, Windows Installer can restore, or roll back, the system to its initial state.
Helps prevent certain forms of inter-application conflicts: Windows Installer enforces installation rules that help to prevent conflicts with shared resources between existing applications. Such conflicts can be caused when an install operation makes updates to a dynamic link library (.dll) shared by an existing application, or when an operation deletes a dynamic link library shared by another application.
Reliably removes existing programs: Windows Installer can reliably uninstall any program it previously installed. It removes all the associated registry entries and application files, except for those shared by other installed software. You can uninstall an application at any time after a successful installation. (Removal should not be confused with rollback, which restores a computer to its initial state when an installation failure has occurred.)
Diagnoses and repairs corrupted applications: An application can query Windows Installer to determine whether an installed application has missing or corrupted files. If any are detected, Windows Installer repairs the application by recopying only those files found to be missing or corrupted.
Supports on-demand installation of application features: Windows Installer can be instructed to initially install a minimal subset of an application. Later, additional components can be automatically installed the first time the user accesses features that require those components. This is known as advertising. For example, Windows Installer could install Microsoft Word with a minimal set of features. The first time the user tried to access a mail merge function (not included with the original installation), Windows Installer would automatically install the mail merge component. Similarly, Windows Installer can also purge components that go unused in an application. For example, Windows Installer could be configured to remove the mail merge component if it goes unused for 60 days.
Supports unattended application installation: Installation packages can be configured to require no installation process interaction from the user. During the installation process, Windows Installer can query the computer for desktop attributes, including determining whether any applications were previously installed by Windows Installer.