问题:

We are working on a winforms app in Visual Studio 2005 and the setup project we created output both an MSI and an EXE. We aren't sure what the EXE file is used for because we are able to install without the EXE.

回答1:

It's a bootstrapper that checks to make sure that the .NET Framework is installed, before launching the MSI. It's pretty handy.

I suggest using something like SFX Compiler to package the two together into one self-extracting .exe and then launch the extracted setup.exe. This way you retain the benefits of the bootstrapper, but your users only download a single thing.

Edit: also see

The official line: MSDN documentation
Some bootstrapper customization: some guy's blog post about what he did

回答2:

The EXE checks if Windows Installer 3.0 is present and downloads and installs it if it's not. It's needed only for Windows 2000 or older. Windows XP and newer all have Windows Installer 3.0 out of the box.

Other prerequisites, like .NET, are checked for by the MSI itself.

回答3:

I think the EXE is just a wrapper/bootstrapper for the MSI in case you don't have Window Installer. If you have the requisite Windows Installer version installed then the MSI should work fine on its own.