Windows Installer 2.0 is contained in the Microsoft Windows Server 2003 family and Windows XP. The Instmsi.exe file is the redistributable package for installing or upgrading to Windows Installer 2.0 on earlier operating systems.

Windows Installer 2.0 is available as two packages. One is for installing or upgrading to Windows Installer 2.0 on Windows Me, Windows 98, and Windows 95. The other package is for installing or upgrading to Windows Installer 2.0 on Windows 2000 and Windows NT 4.0. These packages should not be used to install or upgrade Windows Installer 2.0 on the Windows Server 2003 family and Windows XP.

Windows Installer 3.0 requires Windows Server 2003, Windows XP, or Windows 2000 SP3. Windows Installer 3.0 is included in Windows XP SP2. It is available as a redistributable for Windows 2000 Server SP3 and Windows 2000 Server SP4, Windows XP RTM and Windows XP SP1, and Windows Server 2003 RTM.

Windows Installer 3.1 requires Windows Server 2003, Windows XP, or Windows 2000 SP3.

Windows Installer 4.0 requires Windows Vista or Windows Server "Longhorn". This is the newest version. Read more here & here for what’s new with this version. There is NO redistributable for 4.0 version for download, so far. 

Downloads

The following are the Windows Installer Releases:

Source: MSDN

You can download the different versions of Windows Installer from the following locations:
Windows Installer 1.0 SDK (x86)
Windows Installer 1.1 SDK (x86)
Windows Installer 1.1 Redistributable for Windows 95 and 98
Windows Installer 1.1 Redistributable for Windows NT 4.0
Windows Installer 2.0 Redistributable for Windows 95, 98, and Me
Windows Installer 2.0 Redistributable Windows 2000 and Windows NT 4.0
Windows Installer 3.0 Redistributable
Windows Installer 3.1 Redistributable (v2) - This is the latest version available for download. Read KB 893803 for details.

Read about Windows Installer Redistributables