I want to implement (exe or msi) to install screen saver (scr) file on any machine. Please guide how to implement ?
Create a Setup package with Visual Studio, set the output path to X:\Windows\ (Where X is the system drive) and probably running some command line to register the screensaver with Windows.
Also check out; http://support.microsoft.com/kb/307353 (Create Setup package)
Probably this one will help you even more; how to install screensaver programmatically?