You need to install the MSXML4 package, so that various things can parse/read XML files etc. You can get it from microsoft:
MSXML 4 SP2You may possibly want to get the latest (v6) as well... note that as far as I can tell, there is no version5??!??! Anyway, I am not sure if this is entirely necessary, but it cannot hurt to have the latest:
MSXML v6ps. it looks like you are not actually using the FS2004 gamepack properly... after you install the gamepack into the c:\gmax directory, you need to make sure that you start Gmax using the FS2004 shortcut that you can find in the c:\gmax\gamepacks\fs2004 directory. If you right-click the short cut and choose "Send To

Desktop (create shortcut)" you will be able to find it easier.
You will know if it has loaded correctly as the gmax title bar will say [FS2004 game pack]...