Choose The MSI EXE Setup
Some software programs are unpacked to both an msi ans exe setup file. If you are a end user you might wonder which to execute to install the application properly. Chance is that you tried both ways at least once and noticed that clicking the msi or the exe setup file would install the application properly. The setup.exe that you encounter in lots of software distributions is called a bootstrapper. This setup.exe file will check if the computer system is capable of running the software program; If it is it will initiate msiexec.exe which will launch the installation using the msi file.
Users who double-click on the msi file directly will also install the application but with the possibility that it will not run properly on the computer system. Take a computer program that requires the Microsoft .net Framework 3.5 for example. If the user has an older version of the framework installed setup.exe will download the files needed and launch the installation of the compatible framework and launch the installation using the msi file afterwards.
If the user installs using the msi file the installation will go through without problems but might experience an application crash or warning message while starting the application. It is therefor recommend on end user systems to always install applications using the setup.exe file if both a setup.exe and xyz.msi are available after unpacking the software program.

There are even some msi setup files out there that will not perform the installation upon execution but request an installation using the setup.exe file instead to ensure that all necessary components are installed.
The advantages of an EXE setup are that there are many tools available for creating them, and some tools make both very simple and very complex installs easy to create.
The advantages of an MSI setup are that they can be deployed in many ways (either manually, through administrative distribution, or through a Windows feature called "advertisement") and natively support rollback for clean uninstalls as well as patching and versioning, and have logging support for resolving installation troubles. It is also possible to create an MSI package that can install without administrator credentials.
The main disadvantage of EXE setups is that they are being discouraged in newer Windows versions. Windows Vista only supports them through "legacy installer heuristics" which is an algorithm that looks at various factors (including the name of the setup package) to try to determine that the EXE is an installer package, and if it judges the program to be an installer will run it elevated upon user approval (which may require entering an admin user/pw). This is a "legacy application compatability" feature in Vista that may not be present in future versions of Windows. What this means is that an EXE setup cannot be run without administrator credentials unless it works hard to hide the fact that it is an installer.
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