About .exe, .msp and .msi file extensions

EXE

EXE is a file extension for files that contains a program you can execute on a computer. You can run an executable file in Microsoft DOS or Windows using a command or double-clicking the file. 

MSI

MSI is a file extension that applies to database files used by the Microsoft Windows Installer (MSI). They contain information about an application divided into features and components, and every component may contain files, registry data, shortcuts, and so on. 

MSP

MSP is a file extension for a Windows Installer patch file used by Windows and Microsoft programs. Files with this extension usually install a bug fix, security update, or hotfix. Most Windows patches are sent as .MSP files. 

This extension is also used for Microsoft Paint bitmap files. 

MSI files install computer code, whereas EXE files can be any file that runs on a Windows computer.