This solution from 2008 had only been tested on Windows Vista. The number of negative thumbs on this entry suggest it will not work on Windows XP or Windows 7+.
Today for some particular reason my version of Microsoft Vista had forgotten what to do with ‘.msu’ files. MSU is a file extension used by Microsoft to package operating system updates that are not tied in with Windows Update.
Fortunately there is a quick and simple solution, but for many people this is not too obvious. We simply need to re-associate the ‘.msu’ extension with the Windows Update Standalone Installer. Thats the application included in Windows and is used to install these packages
Firstly you need to click ‘Select a program from a list of installed programs’ and press OK. The following prompt will then appear.
From here, just select ‘Browse’ and then press OK. Also make sure the ‘Always use the selected program to open this kind of file’ is ticked.
Now browse into your ‘Windows\System32\’ directory and look for the file ‘wusa.exe’, select it and click OPEN.
Now the Windows Update Standalone Installer will be an option within your Open With dialog. Make sure it is selected and press okay.
That’s it, now your .msu packages should be working again as normal.
The Developer's Tidbits 
thanks it was really helpful i searched a lot till i read ur solution ^_^ u r geat
Thank you ,you explained everything so great ,it was easy even for me to do it.You really know what your doing .
Thanks a lot! No, really! Thank you.
I had a program named “Universal Extractor” and it associated the msu file-type to itself and so i was roaming my system32 folder trying the .cab utilities, the package utilities and gave up once I got down to the “p” section of exe’s, leaving unable to open it, until I read your post. Seriously, thanks, I was really, really, irritated.
~Joe