There is a third way. (you missed right clicking an inf file and clicking install)
even a fourth way- using device manager or just plugging the device in, but letting it search..as opposed to pointing to a location.
So, The ways being
-run a setup file
-go to device manager where something didn't detect properly - came up as a question mark, and right click and point it to a location with the driver (I tell it not to search, as it's quicker just pointing it to the place, and searching might lead it to a built in windows one rather than the latest one)
-right clicking an INF file and left clicking 'install'.
-letting windows search for a driver
Running the setup file can install software.
Pointing device manager to a location,(when you see the question mark so a driver didn't install properly) that might do a bit more than right clicking the inf file. So i'd try pointing device manager to a location. If that fails i'd try right clicking an inf file.
Added
Let's call them the 'installation executable' way, the 'pointing to the location' way, and the 'right click the inf, and install' way.
I'd recommend doing the installation executable (setup.exe) route first because that may configure the device, and install any software, and that's usually what the manufacturer created for installing the driver . It's the longest way but still not too long. That should do it. And if you have problems you can try uninstalling it via its uninstaller, and reinstalling.
If the installation executable way fails, you may still get software out of it so was worth trying, you can then try pointing device manager to the location.
And if pointing to the location fails, (perhaps you can't even see the question mark in device manager) you could try the most minimalistic way, right clicking the INF file and clicking INSTALL.
None of the methods take that long. The longest is the installation executable way.
So when things don't work, since the other two methods are so quick.. try them. But i'd try the location method before the right clicking an INF method. Because pointing to a location means that if it works you know it will appear in a device manager and I think it also copies some driver files to somewhere within the windows directory. Whereas right clicking an INF, might just add an entry to the registry. I am not sure if an INF file is relied upon after installation, but if you are worried about that, you could put it within the windows directory when you right click it and click install, so you know it's important and not to delete it - there is even a directory called C:\windows\inf.
I have almost never had to do the right clicking an INF method. In 15 years, I only recall having to do it once, and one other time recommending somebody do it and it worked for them. There is a a famous problem perhaps in the win98 days of the 'install' option not appearing when right clicking an inf, and there's a fix for that. But that tells you also that the method isn't so unknown. It's a tool in your arsenal, really for when nothing else words. The two ways you mention are the most common and are generally better because they do more. So the installation of executable installs software.. may configure the device.
There's actually that fourth way. To let device manager search for a driver. That can combine with the software way.
So for example, it is typically recommended not to plug a USB device straight in 'cos then it autodetects and windows tries to install the built in driver.
But if you install software first, that can include a driver. Then when you plug the device in and windows searches, it should/could find the later driver.