The file is *.msi ,
how to install it ?

In XP or 2000 you should just be able to double-click it. It's an installation package file.

If your file association is screwed up the file should be associated with msiexec.exe. Go into My Computer -> Tools -> Folder Options... -> File Types Tab -> Scroll down to the MSI extension (if there is one) -> Click the Advanced button -> Click the New button -> The action should be "open" (without the quotes) and the Application used should be this:

"(windir)\System32\msiexec.exe" /i "%1" %*

(That requires the quotes. (windir) is the windows directory...for some reason I can't remember whether is it C:\winnt or C:\windows)