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 basically an installer from Microsoft that is built into windows. It associates components with features and contains installation control information. It is not necessary that this file contains actual user required files i.e the application programs which user expects. MSI can contain another setup.exe inside it which the MSI wraps, which actually contains the user required files.

Hope this clears you doubt.