What is the difference between the installer and setup file?

I followed the instructions on http://www.startvbdotnet.com/extras/deploy.aspx to deploy my application.

A installer file and a file called "Setup" is created. The installer is .msi and the setup file is a .exe. They both seem to be able to install my application, so what is the actual difference between the two?

[Edit]

I don't do .Net deployment to desktops, but I think what you have is an MSI for actually installing your application, and a VS.Net Bootstrapper that checks for and installs .Net dependencies that cannot be incorporated within the MSI.

The Bootstrapper will also trigger Windows Installer to install the MSI once it has set up the .Net ecosystem requirements on the target system.