There isn't an .msi file for adventureworks, even though you'll find it mentioned in outdated documentation and books. You aren't alone in finding this confusing -- it seems the web site, files and steps Microsoft provides for installing these databases changes every time I need to install them.
You need to create the database and attach the .mdf file, which is the "data file" referred to in the instructions. (.mdf = primary data file, .ldf = log file, .ndf = secondary data file)
In order to attach the file, you need to make sure you carefully follow the steps here: http://social.technet.microsoft.com/wiki/contents/articles/3735.sql-server-samples-readme-en-us.aspx#Readme_for_Adventure_Works_Sample_Databases
Instructions for 2008R2:
To install AdventureWorks2008R2 OLTP database
Download the AdventureWorks2008R2 Data File.
From File Download, click Save and browse to a location on your local
server.
From SQL Server Management Studio, execute the following code:
Case-insensitive Database
CREATE DATABASE AdventureWorks2008R2
ON (FILENAME = '{drive}:\{file path}\AdventureWorks2008R2_Data.mdf')
FOR ATTACH_REBUILD_LOG;
As an alternative to step 3, you can attach the database using the SQL
Server Management Studio user interface. For more detailed
information, see Attach a Database (SQL Server Management Studio).
Note: You must remove the log file from the list of files to attach.
This will cause the operation to rebuild the log.
Headache saving tip from Aaron Bertrand:
You should place the mdf file in your normal data folder - SQL Server
will already have the proper permissions. You can get this path using
SELECT TOP (1) physical_name FROM master.sys.database_files;