What are the specific differences between .msi and setup.exe file?

Question

I searched a lot, but all are guessed answers. Help me to find the exact answer.

Answer 1

MSI is an installer file which installs your program on the executing system.

Setup.exe is an application (executable file) which has msi file(s) as its one of the resources. Executing Setup.exe will in turn execute msi (the installer) which writes your application to the system.

Edit (as suggested in comment): Setup executable files don't necessarily have an MSI resource internally