In Windows XP one could just double-click an .MSI (Windows Installer) file to start package installation: MSIEXEC.exe is associated with the .MSI extension and if user had administrator rights installation would go forward. Clicking .MSI file was functionally identical to running Setup.exe bootstrapper, provided Setup.exe didn't have additional functions other than starting the installation.
In Windows Vista things are different. When Vista's User Account Control (UAC) is turned on, launching Setup.exe is not quite the same as running MSIEXEC.EXE /i mypackage.msi. The difference is that when Setup.exe is started, Vista runs it in "elevated" mode, which gives the process more privileges. MSIEXEC.EXE does not seem to run in elevated mode and therefore behavior of the installation may be different.
The issue seems to be manifesting itself most often when an MSI setup package made using Visual Studio executes custom action steps implemented as an Installer class. I am not sure what exactly happens but I noticed that MSI error 2689, which is a common result of failed custom action, will go away if installation initiated using Setup.exe instead of just clicking on .MSI file.
Bottom line: On Vista always start installations by launching Setup.exe instead of double-clicking .MSI file.
Another possibility to consider: if you were not a victim of computer virus attack in the last five years (Windows XP lifetime), then you are may want to simply turn Vista UAC off.