Exe, .msi, .msp, .inf - together, what do these filetypes indicate

.exe is a file extension for files that contains a program you can execute on a computer. You can run an executable file in Microsoft DOS or Windows using a command or double-clicking the file. 
.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. MSI files install computer code, whereas EXE files can be any file that runs on a Windows computer.  
.msp Indicates a Microsoft Patch file that may be used for patching or changing a program/firmware that pre-exists on the host PC. This extension is also used for Microsoft Paint bitmap files. 
.inf is a file extension for a plain text file used by Microsoft Windows for the installation of software and drivers. It is also referred as a Setup Information file. The INF file contains various sections that specify the files to be copied, changes to the registry, etc.