An EXE file can be an installer, a program, or just code. An MSI file is a Microsoft Installer file use to install a program using the Windows Installer.

It encapsulates the script with a lightweight PowerShell host written in C# and compiles the dynamically generated C# source code in memory to an EXE file.

Renegade's Random Tech weblog has a simple how-to for converting batch or .VBS scripts into executable forms using a lesser-known Windows program call ...