MSI files are a Microsoft install file type introduced a few years ago. If your system doesn't know what to do with it, your registry entry that associates MSIEXEC with MSI files may be corrupt or you have a system so old that it doesn't have MSIEXEC.
Apache Instructions for Resolving MSIEXEC files: TroubleShooting MSI Installations.. It will explain how to install an .MSI file (which stands for Microsoft Installation file - what a sad state of affairs). The short and sweet of the instructions are that you can invoke the Microsoft MSI installer by hand as MSIEXEC /I c:\path\apache_2.0.47-win32-x86-no_ssl.msi for the Apache 2.0 version. Use the appropriate filename for the 1.3 version. If you downloaded this file to your desktop, you might want to copy it to your root in order to make the invokation of this command easier. Only one person reported this problem, but just in case.....
If you have NT 4.0 or Windows 98, you very likely don't have MSI support. You can download the MSI installation program from Microsoft
Windows 98
The good news is that almost all new software and all open source software is distributed this way. It is how Microsofty wants people to do it. So
you might as well get this out of the way!