An MSI is only used with installers; however, this is not the case with EXE. Any program must have at least one EXE file since it is required to start the application's processes. Even programs that are installed through EXE or MSI will contain one or more EXE files.

The availability of a standard GUI that is modifiable to some extent but reduces the hassle of designing your own interface is one of the advantages of utilizing MSI when constructing your installation package. But if you use an EXE file, you have full freedom over how the installer interacts with the user. This is clearly seen in most modern games which use EXE as their installers. They often have very fancy and interactive interfaces that entertain the user while waiting for the installation to finish.