An installer is a computer program that installs an application, a driver, a set of media files etc onto a computer. It is also known as a Software Package .
The current popular format for the Windows OS is MSI (aka Windows Installer). Previously, almost all installers were called setup.exe. Companies making tools for creating installers for the Windows OS include Wise, InstallShield and OnDemand. These tools can create MSI packages as well as their own respectively proprietary setup.exe.
Free alternatives include NSIS and InnoSetup . BitRock has a multiplatform installer that works on Windows and Linux and is free for open source projects. To date, however, no free tools exists to create MSI packages.
The most used format for Linux OS' is RPM (aka RPM Package Manager). It is used by Suse, Red Hat and Mandrake distributions, among others. Debian and distributions based on it, use DEB packages. In the Unix world, they are better known as Package management systems