You may have trouble installing certain .MSP files, such as the just released Exchange 2007 Update Rollup 5 for SP1.  This rollup needs to be installed with elevated privileges but there’s no easy way to do that in Explorer (no “Run As Administrator” for MSP’s).

Start an elevated PowerShell prompt and do:

ii Exchange2007-KB953467-x64-EN.msp

or if you don’t have PowerShell (why not?), do from an elevated CMD shell:

start “” Exchange2007-KB953467-x64-EN.msp

The patch should run elevated and complete succesfully.  If the Exchange Rollup is not run elevated, the installation will die when it attempts to stop Exchange services.

UPDATE:  Phil Elder ran into the same problem and resolved it before I did!  I read his blog regularly, so that must have flew right by me!