I installed VFP 9 and try to create a html output

DO (_reportoutput) WITH 5, olistener

causes error:

---------------------------
XML Listener
---------------------------
Class definition MSXML2.XSLTEMPLATE.4.0 is not found.

htmllistener
Error: 1733
Method: loadprocessorobject
Line: 8

loProcessor = CREATEOBJECT(OUTPUTXML_XSLT_PROCESSOROBJECT)
---------------------------
OK
---------------------------

Why this object is not installed by VFP 9 setup ?
How to install it ?