MSI is a special type of setup package which includes information related to the installation, fixing or removal of an application on a Windows computer.
Unlike the more common EXE installers, these ones require users to have administrative privileges in order to run them. Also, MSI installers feature rollback features and versioning.
Applications dedicated to creating installers allow users to select the files that will be packaged inside a MSI setup file.
Also, one will also be able to assign the newly-created installer a personalized icon and to choose the license text file.
Another way to create MSI files is to convert EXE setups to this format.