Hello Raghunath,
To create msi you have to install Infopath SDK. Infopath SDK has regform.exe tool which is used to create msi. To create msi please follow these steps:
1. Publish your solution to local machine.
2. Open cmd and Run this.
regform.exe /u urn:MyForm:MyCompany /FT "Form name" /C "Company name" /V 0.0.0.0 /T Yes /O "output file name" /MSI /LANG ENG "C:\InfoPath\MyForm.xsn (the path where you have published the solution)"
3. msi will be created.
In the above path /MSI Specifies that the output installation file is a Microsoft System Installer (.msi) file. The default is a Microsoft JScript (.js) file.
Hope this helps!