Up until now, Microsoft has released Exchange Server Security Updates (SUs) and Hotfixes (HFs) as Windows Installer patch (.msp) files. However, admins have had problems manually installing these files as they are self-contained packages and need elevated privileges to install. If a user tries to install these updates with lesser privileges, they may leave their Exchange Server in a "bad state". As such, the Redmond firm typically recommends installing .msp files through an elevated Command Prompt window instead of simply double-clicking on the package.
To mitigate this problem further, Microsoft has now announced that Exchange Server SUs and HFs will also be delivered via .exe packages. These will be self-extracting, self-elevating files that can be used for manual installations. This does not mean that .msp files do not have a place anymore. In fact, Microsoft still recommends .msp files for automated installations and recommends .exe packages only for admins who install updates manually.
Microsoft has noted that installations though .exe files will be an atomic process. Upon double-clicking an .exe, the file will check for permissions and attempt to elevate them accordingly. If this elevation fails, all changes will be rolled back. If it succeeds, the .msp will be extracted, kicking off the installation process. In essence, the .exe only acts as a self-elevating wrapper for the .msp file.
If you want more details on installation logging, error handling, and command line arguments, check out Microsoft's technical documentation here. It is important to note that this change in the delivery process does not impact Cumulative Updates (CUs) and Interim Updates (IUs).
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