If you mean the malware removal tool, if it runs from
Windows updates, it just scans the PC and if it finds one
of the malwares in its database it warns you (may also
remove it, not sure); it does not actually download
anything, as far as I could tell (or if it does it deletes
itseklf after the scan). If it doesn't find anything, I
think it just tells you that.
If you want to download it, save to disk and run it
yourself, it is available from
http://support.microsoft.com/?kbid=890830
download and save to any convenient folder the self
extracting file Windows-KB890830-ENU.exe
You can extract the file it contains (mrt.exe) to any
convenient folder. double click on it and it will scan.
this also gives an option to see the scan results. It does
not install as such, to remove just delete the files.
As its database is to be updated monthly, you would need
to download it each month (Windows update will offer it
each month too, with the new database).