Unless I'm mistaken msiexec is the system Win XP uses for installing programs. Doesn't make much sense for steam to be installing an installer.
It's not only used for Windows XP, it's used for newer Windowses as well (windows 7 x64 include both 32bit and 64bit versions). And it's probably being installed because of one of the other 4 programs that are installed the first time you run the game probably use it.
Anyway, I'm speculating it might be related to running non-english versions of Windows (using swedish Windows 7 64bit Home Premium here) and it somehow cause a conflict with the msiexec installer which might be english only or something so it's never installed. Or it might be that Windows 7 SP1 already include a newer version of msiexec so it's never installed because of that. And yet it tries to be installed over and over and over again, each time the game is started. So yeah, a bit annoying
