Microsoft's documentation of the MSScript.ocx library is somewhat contradictory on this issue. The short answer is, starting with Windows 2000, the MSScript.ocx library became part of the Windows OS. Subsequent service packs for Windows 2000, XP, and 2003 included bug fixes (1,2,3) for this library. Since that time, the library has remained part of the 32bit portion of Windows and is still included with Windows 7/2008 R2. Even 64bit versions of Windows still include msscript.ocx with WOW64 in C:\Windows\SysWOW64.
For a little history of this library's distribution keep reading.
Msscript.ocx was originally included on the Visual Studio 6 CD as a "optional" library - optional meaning it had to be manually installed. While the library was part of Visual Studio, it was migrated to being part of the Windows OS starting with Windows 2000.
This is where the confusion comes into play. Since msscript.ocx is considered to be a component of both VS6 and Windows 2000, updates were distributed in service packs for both. Even after the last service pack for VS6 was released, additional bug fixes needed to be distributed for older OS's, so a separate download was created specifically targeting Windows 95, 98 and NT4.
This download is targeted for older OS's for the simple fact that it had become a part of the OS in "modern" versions of Windows. If you are using Windows 2000 or greater, the download is unnecessary and - in my experience - can cause compatibility problems.