Answer
The best way to execute an .msi during the install is to use the Execute Program action and execute MSIExec.exe, with a path pointing to the .msi.
The .exe path would be %SYS32%\msiexec.exe as the program and /i <path to .msi> as the command line.
Ensure that the .msi is in a location that it can be executed from before the execute command is run. You can accomplish this by placing the .msi on the CD and calling it from the CD, or using the Install File action to install the file to the hard drive and run it from that location.