- The Windows Installer will install the executable in "Program Files", create shortcuts and other registry entries. The Standalone Executable is exactly that, just an executable to run the Electrum program.
- Benefits of Windows Installer would be ease-of-use for those most familiar with installed programs, plus it will be available to multiple users (whether that is desired or not, is another question). Benefit of Standalone is don't create registry entires (cleaner) and don't require raised privileges (as not installing globally).
In either case - user-specific data will be saved in C:\Users\USERNAME\AppData\Roaming\Electrum
There are some more details in this blog post