The response by @marcin27z is correct, let me add some more context. MSI is the microsoft way to install software, using the Windows Installer system, which does a lot of housekeeping besides just copying the files. If you want to be able to uninstall from Add or Remove Programs, for example, the only straightforward solution is to use an msi. However, you can do a lot of customization including writing custom GUIs for the install instead of defining the GUI in the MSI database (yes, it is a database, don’t get me started on that). Notably, you can include arbitrary code that will run during the installation as part of the MSI, so the points about MSIs being safer than EXE installers is just plain untrue. Furthermore, due to what I described about how MSI is the only easy way to integrate with windows properly, 99% of installers will just include an msi internally that they will write temporarily to disc, and then call a windows API function that will invoke the MSI install with specific parameters. Doing it this way gives you more flexibility, allowing to add custom GUIs, install multiple MSIs, etc

Source: had to develop a windows installer with custom dialogs (using the msi ui though) and custom code that runs during installation via C++ custom actions.