Windows Installer is the installation service provided with Windows, based on the creation and installation of MSI files. In practice there will be a tool you're using to generate the MSI files, and you should tag your question with Windows Installer and that tool (WiX, Visual Studio Setup Project, InstallShield, Advanced Installer etc). Your issue may be with building, designing, or installing MSI files.
From the MSDN documentation:
Microsoft Windows Installer is an installation and configuration service provided with Windows. The installer service enables customers to provide better corporate deployment and provides a standard format for component management. The installer also enables the advertisement of applications and features according to the operating system.
Installer also handles registry related changes.
