.EXE file means Executable File. It is a file in the system that is capable of being run or executed as a program in the computer.
.MSI is the Microsoft Installer program. It is the installer package file that is used to install, store or removal or any program on the computer.
.MSP file means Microsoft Patch file. This type of files is used by the Microsoft programs and windows to fix the bugs, for security updates, and for hot fixes. These files typically open in an installer.
.INF files are simple plain files in text format. They are also called as setup information files. These files are used by Microsoft windows for the installation of software and drivers in a computer.
These are the Windows Installer Programs.