you must be able to run .msi files if you're using windows. just double-click it, then it will run. you will not need any third party programs or software just to open the file nor associate the file to a particular program. Windows can run it directly.
If you're unable to run an .msi file, there are two things to consider:
1. Your .msi file is corrupt. You will need to re-download the file if it is. Download the file from a trusted source. If still persists after several downloads, try to clear or delete your browser cache (delete history can do so) and run disk cleanup. Then try downloading again. Downloading from a mirror website may help if it is available.
2. Your PC is having problems. Try to repair windows using repair disc or your windows original installation disc. Reboot your PC using the optical drive (windows disc must be inserted). Wait for the setup to load. Press R to repair. Setup will automatically replace all Windows files from your PC. A reboot should will needed (or the setup will reboot automatically).
NOTE: Please make sure you use a correct CD. (example: if your PC is windows xp service pack 2, use only windows xp service pack 2 cd. Windows CD must be matched to what operating system you are using. Or else, you ruined your computer.)
If still persists after trying to do the above steps, try consulting from a computer expert you trust.