MSXML, now known as Microsoft XML Core Services, is the COM based API to parse and process XML documents.
Quote from microsoft.com:
MSXML 4.0 Service Pack 2 (SP2) is a complete replacement of MSXML 4.0 and MSXML 4.0 Service Pack 1 (SP1). MSXML 4.0 SP2 provides a number of security and bug fixes.
More information here:
You probably installed it doing one of the many of MS security updates. I wouldn't uninstall it. It adds greater flexibility if for no other reason than it does support DOM level 2 documents.