If you want to use an MSI to install Java for either Group Policy or for SCCM Software Catalog, you can get the MSI file you need easily from the temp location when you run the EXE file.
So, first of all, you need to get the latest EXE from Java, you can get this from here:
Download Latest Java Client
Once downloaded, you should then run the EXE as if you were going to install it.
You will be first greeted with the page below:
You should then click "install".
It will then download the files required as below:
These files will be downloaded to the following location (assuming you are using Windows 7):
%userprofile%\appdata\LocalLow\Sun\Java