a file with file extension .MSI is opened with the windows installer program.
I have a computer with Windows XP, and the 'HELP' for windows says to right-click on the file name, choose Properties, and on the General tab you'll see a place that says 'type of file', and you can push the 'change' button to choose the program to open it.
I don't know if this is how it works with Windows 98 - try using your Windows HELP file and searching for keyword 'file extension', if the above 'help' from XP doesn't work in windows 98.
Edit: the message before this one is probably the better way to go!