It's used to transform XML data and contains numerous tools, classes, methods, libraries, etc for working with XML data. Some websites store data displayed on the site in XML and then transform it to some format (HTML) to display on the webpage. Such web pages require you have msxml installed for the page to function and display correctly. There's a longer explanation here: http://en.wikipedia.org/wiki/MSXML
, but any web-page you find on the subject will tend to be rather "techie" in content. Suffice to say you need msxml in one version or another, and it's a standard part of a Windows installation. It's on every Windows PC so don't worry about it, just be sure to download express security updates regularly from Microsoft Update as some of them are specifically for msxml.