Actually, I would like to add a rant on Windows installer technology... Sure, it is an improvement over what was there before, but it is - to say the least - not very transparent.
When we build setup programs, we need to merge-in so-called merge modules (e.g. for the VB runtime) and it is not really under our control what is being delivered. Also, the Installer does - in phase 0 of the setup - first check it's own version and eventually update itself first. This can even involve a reboot request... Again, no way around this. And, yes, sure MSI files are more or less required under Windows now, so there is no real way around that, too.
HOWEVER, if you are just interested in running the agent and do not need the client on a specific machine, you can do so without any pain. The full instructions are under the "engine only install" in the manual. In short, all you need to do is copy a single file (I think mwagent.exe), call it with the -i switchto install it and then import a configuration via a registry file. And voila, you are done. No reboots, no system file updates, just plain fun

.
I am not sure if it applies here, but it definitely is a life-safer for larger rollouts.
Just my two cents (spiced up a little with my frustration about installer issues...)
Rainer