How to install MSMQ on Windows 2008 R2 ?
http://technet.microsoft.com/en-us/library/cc771474.aspx
How to install MSMQ on Windows 2003 ?
3. If the Message Queuing checkbox is selected it means the service is already installed and you can thus skip the rest of this section. If it is not, then you need to follow the rest of the steps below to install the message queuing service. In the Application Server dialog click on Message Queuing and then click Details.
5. In the Application Server dialog click OK and then click Next in the Windows Components Wizard window to start installing the message queuing service.
6. When the installation of the message queuing service is complete, you need to click Finish in the Windows Components Wizard. The Message Queuing Service is now installed.