As far as I know, Oracle doesn't have any particular support for MSI packages. Oracle does have a product component called Software Packager that allows you to create custom packages that can be installed with the Oracle Universal Installer tool. I believe that the reason Oracle has not created any MSI packages is because they support many platforms (over 50 last I counted) and the OUI allows them to use the same installer on all platforms.
All that aside, I'm not a Windows programmer, so the only advice I can give you is to ensure that whatever package you create includes all the proper registry entries. If you ever want to use the OUI (to install patches, for example), you must be sure to include the inventory in your installation. On most Windows systems, the inventory is created under c:program filesoracle.
This was first published in October 2004