My "msgr3en.dll" lives in:
C:\WINDOWS\$NtServicePackUninstall$
or
C:\WINDOWS\srchasst
or
C:\WINDOWS\ServicePackFiles\i386
or
C:\WINDOWS\system32\dllcache
I was about to say just seach for it !!!
But that would have been funny (in a cruel way)
So you could browse to those locations (when it asks you, where is it) But I'm concerned you might get more "type in the path..." questions.
If you do, then at least try C:\Windows and C:\Windows\System32 so forth...
Another, possibly easier, option, would be to click Start-->Run--> sfc /scannow
You'll need your Windows CD, and it takes about an hour (shouldn't hurt any of your files either)
Doing a sfc /scannow will confirm all your Windows files are intact.