Windows installer may spawn multiple instances of msiexec.exe for several reasons.
First of all Windows Installer features a user interface sequence (which can be skipped by running the install silently), and an installation sequence. The two tables for these sequences are called InstallUISequence and InstallExecuteSequence respectively. Due to the way Windows Installer allows "elevated rights" during installation, the InstallExecuteSequence will run as the System account. In other words if you launch the setup in GUI mode and kick of installation that way, you'll normally see two msiexec.exe processes.
Furthermore MSI files can launch custom actions - some of which can spawn new processes (EXE files). I believe these actions may trigger further msiexec.exe processes to show up in the task manager.
Aaron Stebner has a better explanation here: http://blogs.msdn.com/astebner/archive/2005/03/02/384088.aspx