Welcome to Python!
This applies to all programs, not just python:
An executable installer has every component of the program you're installing locally in the installer itself. This means that you can download the installer on a computer with internet access, copy it over to a computer without internet access and install it there. This is usefull if you're installing network card drivers.
Web-based installers are small programs that when you start them, they download the nessecary files and install them directly. This means that the installer is very small.
If you just want to install python on your local computer with web-access, it doesn't really matter which one you pick.
so, for most of developers ,because they have already been able to connect to internet, please choose web-based installer.