Scripting

Basically, standard ones run during the preparation of the installation script. Deferred ones run during the actual execution of the script (the actual installation). Therefore, custom actions that must be executed after the machine has been altered should run deferred. Immediate execution CAs are useful for interacting with properties and affecting the content of the installation script itself.

Also deferred CAs can run under the "System" context as well as the user's.

Class, Typelib, ProgId, Extension, Shortcut, AppId...

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In-Script Options

This determines when the custom action is executed. When Windows Installer runs the installation, it first reads the action sequences and creates its own internal installation script to follow, then later it executes that script. You can have the custom action executed immediately when Windows Installer first encounters it, or later during execution of the internal script. See Custom Action In-Script Execution Options in the Windows Installer SDK Help.
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Note
The In-Script Options drop-down list is disabled if this custom action is located in the User Interface or Execute Immediate sequences because both these sequences already run in immediate execution mode, making this drop-down list redundant. It is disabled for Set Property and Set Directory because they must be run in immediate execution mode in order to work.

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Immediate Execution

If you place an action in the User Interface or Execute Immediate sequence, this is set to Immediate Execution and is disabled, because those two sequences always run in immediate execution. This action will be executed during Windows Installer's first pass through the installation database, before the internal script is generated and executed. Actions in immediate execution mode can change properties; actions in any type of deferred mode cannot. Actions in immediate execution mode always run under User Context, which means that they run with the same privilege level as the currently logged-in user. If the custom action needs to be run under a higher privilege level, place it in the Execute Deferred sequence and set this field to Deferred Execution - System Context.
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Note
The following four options all apply to deferred custom actions, and are available only if the custom action is placed in the Execute Deferred sequence. Otherwise the drop-down list is disabled.
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Deferred Execution - User Context

Select this if the action should be executed later during installation, during the time when all other system changes are performed by Windows Installer. This runs under user context, so if the current user doesn't have elevated privileges, and the action needs elevated privileges to succeed, it might fail. Use this option if the custom action depends on a file that is installed with the installation. Custom actions that change the system directly should be run in Deferred Execution. Deferred custom actions cannot change properties in the Property table. See Deferred Execution Custom Actions in the Windows Installer SDK Help.
t Rollback only
Select this if the action should be executed later, during installation of the rollback script, which is invoked if the end user cancels the installation or if the installation is unsuccessful. Use rollback actions to undo previous custom actions that made changes to the system. Rollback actions run in deferred execution mode and cannot run asynchronously. See Rollback Custom Actions in the Windows Installer SDK Help.
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Commit only

Select this if the action should be executed later, during installation of the commit script, which is invoked upon successful completion of the installation script. Commit actions run in deferred execution mode. See Commit Custom Actions in the Windows Installer SDK Help.

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Deferred Execution - System Context

If execution of the custom action requires elevated privileges, set this option. You must also set AlwaysInstallElevated keys in the registry. See AlwaysInstallElevated in the Windows Installer SDK Help. This makes the custom action run as though it were logged in as a system account, similar to the way services can log in as a system account.

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Note
User context and system context are relevant only on locked-down Windows NT, Windows 2000, and Windows XP computers. Actions run in system context are run with elevated privileges by the Windows Installer service. Actions run in user context are run with the current user's privileges.
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Processing
The main installation thread can control the custom action thread in different ways. Options in this drop-down list determine how the custom action thread is controlled. See Custom Action Return Processing Options and Synchronous and Asynchronous Custom Actions in the Windows Installer SDK Help.
The Processing options are not available if the custom action type is Set Property or Set Directory and are limited to synchronous for Install MSI custom actions.
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Synchronous

Run the custom action synchronously to the main installation thread. Windows Installer waits for the custom action to complete before continuing the main installation. The exit code of the custom action must be 0 to indicate success. Use this method for Windows Installer to wait for the success of the action before continuing.
t Synchronous, Ignore exit code
Run the custom action synchronously to the main installation thread. Windows Installer waits for the custom action to complete before continuing the main installation. Use this option if success of the action is unnecessary to continue with the installation. The exit code of the custom action is ignored.

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Asynch, Wait at end of sequence

Run the custom action asynchronously to the main installation thread. Windows Installer runs the custom action simultaneously with the main installation. At the end of the script, Windows Installer waits for the exit code from the custom action before continuing. Use this if the installation is not dependent on completion of this action, but you want to check the exit code. This option is not available for Install MSI custom actions or if you selected Rollback Only in the In-Script Options list above.

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Asynch, No wait

Run the custom action asynchronously to the main installation thread. This means that Windows Installer runs the custom action simultaneously with the main installation. Windows Installer does not wait for completion of the custom action and does not check the exit code. This option is not supported for Install MSI custom actions. This option is not supported for Install MSI custom actions or if you selected Rollback Only in the In-Script Options list above.

Thanks Bheers
Adaptability