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.exe Indicates a windows executable file. These files are compiled in a variety of different programming languages and can accomplish a variety of tasks. .msi Files are database files that have pre packed dependencies, code, etc that is used by the Windows Installer to install a program package onto the host PC. .msp Indicates a Miscrosoft Patch file that may be used for patching or changing a program/firmware that pre-exists on the host PC. .inf Indicates an information file that is commonly used by programs/installers to outline the parameters for the program/installation to run. 

.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.