You most certainly could, but you would have to do that for every .msi exec you wanted to run. If the op has the installer on the computer, then it should install Ok. Otherwise , download from the link and install. He will then have no need in the future to do anymore than click the .msi to run it.
Easiest way, but not everyones taste for some reason, is to be logged in as the global administrator, then it will run anyway.