| For Win32 platforms, the client can be downloaded as either a ZIP file or a MSI (Windows Installer) database file. In order to install any MSI-based program, you must already have Windows Installer support installed on your computer.
Windows 2000, Windows XP, and Windows Me all come with Windows installer support out-of-the-box. Windows NT4, Windows 95, and Windows 98 systems can download and install the Windows Installer runtime from Microsoft (if it has not already been installed for some other program).
To determine if you already have Windows Installer support, Start/Run and type "msiexec". If you see a version number displayed, then you already have Windows Installer support installed.
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distributed.net Faq-O-Matic : 
What are the requirements of the Windows MSI client installer?
What are the special features of the Windows MSI client installer? for information about using the MSI for automated or mass-deployment.