Faizan I dug this up while googling your problem... seems to be a fairly common problem among ME users...
MSIEXEC.EXE and MSI.DLL are both Microsoft program modules in \Windows\System directory with Windows ME and should be at the Windows release date unless modifed by some other program. If one of them is missing, then you need to extract a copy from the Windows *.CAB files in the \Windows\Options\Install directory. And try to find out why it was missing in the first place. (
Source)
Also Microsoft has an article on it
here
How to extract the files