Msi's (Windows Installer Package) have .exe's sort of embedded in them.
Regardless, it's telling you that you don't have permission to run it as of right now. Are you logged on as an administrator? Check your user account permissions in Control Panel > User Accounts.
What Roderunner was referring to is this: Right click the .msi file, select "Properties." On the General tab, towards the bottom, is there a button that says "Unblock?" Click it, and OK.