Microsoft XML Core Services - security threat?

[rosiescott97]

On my Bullguard Internet Security scan, I had an error: http://i52.tinypic.com/ng90cj.png (screenshot) - 'Microsoft XML Core Services (MSXML) 4.x'
I don't know what this is and have never used it but on doing research it appears to be used for some kind of coding? Anyway that's not my question -

On trying to fix this problem by downloading an update for Microsoft XML (as recommended by Bullguard) this came up: http://i52.tinypic.com/2m5ysjt.jpg.

I am now at a loss as to how to solve this security problem; can anyone help me?

Thanks a lot,
Rosie.

[rosiescott97]

Sorry, I forgot to mention that I attempted to uninstall this program but it didn't appear on the Add/Remove Programs list.