Downloaded EXE file is self-extracting archive.
Run WinRar program, point to EXE file and select "Extract To" (follow on-screen instructions).
Then you will have bunch of files, and one of them will be MAIN.msi, or just MAIN in Explorer (I hate this program) if "Hide known file extensions" is activated (and it is by default).
Run that MAIN (double-click)
P.S.
And please, if problem is in some map or program you downloaded in some thread, post questions in that thread, so other members who are downloading could see question and answer
Bookmarks