.dat or .msi in ThinReg logon script?

When I create a ThinApp, I create an msi, and sometimes ThinApp creates the .dat file instead of the .exe. I am a little confused as to which to put into my login script that runs ThinReg. Do I put \\server\path\xxx.dat or \\server\path\xxx.msi ? Or does it matter? Thank you.