MSI files contain things, mostly software programs, to be installed by Windows Installer on a computer running Windows. They are alternatives to installers of kind setup.exe.
Today many programs that look as if they are of kind setup.exe are really self extracting archives that contain a MSI file.
However there are also MSI files that only contain a classic setup.exe installer, the MSI logic only starts that. Such files don't have the advantages of true MSI files.
True MSI files have several advantages over old installers of kind setup.exe. The windows installer makes sure that it's possible to do clean uninstalls, repair installations and they can be used for automatic mass deployment of software on many computers with GPO.
Installers in the form of MSI files are available for many windows-programs.
Some are directly available from their authors, for example for Flash Player and for Adobe Reader.
Some can be extracted from their setup programs, for example for Java and for Quicktime.
Some authors don't create MSI files, for example Mozilla for Firefox (description not yet finished).
However, even with the MSI files ready for download, it's not advisable to use them as provided. Instead you should usually edit some of the properties of these files. You can find more details by clicking the links above.
MSI files can be created with generators like WiX or Advanced Installer, or with automatic setup-to-msi converters (alias imagers) like WinInstallLE. Automatic converters and imagers usually require a specially installed clean PC and are often unreliable: their MSI files sometimes work, sometimes they don't. If they don't work, try again until you get a functional file. If on many tries it never works, your PC may not be clean enough.
If you are using an older version of Orca than 4.5, then update to 4.5 to find an online help for it.
Lots of technical details about Windows Installer and MSI files can be found in the help file msi.chm.