Windows 7 Why is there oftentimes a setup.exe AND a setup.msi in ONE installer package?

[pstein]

When I download software from official webpages then I observe oftentimes a setup.exe AND a setup.msi within the just downloaded single *.zip installer package.
Example: bcTester by QualitySoft: Download

Why are there TWO files?

Shouldn't it be enough to provide only ONE (either exe or msi) file for installation?

Which one should users officially double click (at first) for installation?

Peter

 

[nmsuk]

Setup.exe which contains the info the msi uses to install.