MSI files are Microsoft Installer files. If you don't have a system association for them, then something is seriously out of whack with your system. You may need to install/update the Microsoft Installer (Vista should come with it though), or you may have had the association stolen by some other application. In either case you'll need to look for general information on fixing that association before you can continue.
The other possibility is that the download did not complete correctly. You can try re-downloading with a different browser, or after clearing your cache.
- Oshyan