I don't know why 8.2 is only offered as an MSI installer. Searching Google I find various downloads of the AdbeRdr820_en_US.exe file (on 3rd-party sites), but I wouldn't trust them.
So I have to take the previous version (8.1.) which is available in exe and msi.
Funny. If you search "adobe reader 8.2 exe" with Google, this post is the second search result at the moment!
Only .msi is provided by Adobe.