Pilou, I think you should have to look for "Windows installer" or something like that in the process manager.
Don´t bother with NSI (NSIS). It is not a program that can convert msi to exe. It is an application using that a developer can create his own installer and as a result he gets exe file. There are plenty of programs that help developers build MSI and EXE installers like InstallShield, Wise, NSIS, Tarma and many others. Simple say, if a developer creates an application that consist from more files and wants to allow a user to choose destination folder or setup other things it is suitable to create and installer for the application. I mentioned NSIS, because I use it and like it. NSIS installer uses NSI script language and script system. But these things relate to developers not users
Taron, maybe this discussion deserves its own thread?