Advanced Installer's job ends with the creation of the install packages (MSI, EXE, etc.). From then on, the Windows Installer takes over. This means that Windows Installer 2.0 engine (or higher) must be installed on the target computer in order to be able to install packages created with Advanced Installer.
This is no issue, as Windows Installer comes pre-installed on all the latest Microsoft operating systems (Windows 2000, XP, etc.), and also bundled with the latest Service Packs and the most popular office and productivity applications (MS Office, VS.NET, etc.). But if you want to support older OSes and ensure against the remote chance that Windows Installer is not installed on them, Advanced Installer gives you the option of authoring your install package as an EXE.
The EXE will run everywhere and, using the Prerequisites functionality, it can check if Windows Installer is installed on that machine, download and install it before running your installation package.