I just ran into this issue with the MSXML.DLL -- found that following Michael's path worked -- in our case we had to install msxml FIRST before we put in the SP9, SP10, SP11 patches for FRX.
It actually works if we did all the SP's (9,10,11) but forgot to load MSXML and went back and did MSXML and only had to do SP11.
Here is a download to the MSXML I used -- and put a copy in Sugarsync in the FRX patches section just in case the link goes dead.
http://www.microsoft.com/download/en/details.aspx?id=15697
SP9, SP10, SP11 are all in the Sugarsync file storage.
This was Windows 7 32 Bit
There were some intermediate errors that came up with SP10 but we entered through and it seemed to test ok.