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An EXE file can be an installer, a program, or just code. An MSI file is a Microsoft Installer file use to install a program using the Windows Installer.
A program (binary, or executable) is a file on disk somewhere, in a recognized format. Common formats include ELF on Linux, ...
System 15.0 also upgrades the Sysmon schema to version 4.90, which now includes the 'FileExecutableDetected' configuration option to detect the creation of executable files on the monitored device.