I am answering my own question. I found that the file au.inf was missing for reasons unknown to me. I have W2K and also Win XP, so I copied the file au.inf from Win XP and put in C:\WINNT and it worked partially but there was a pop-up screen that was giving information about another two files missing and I replaced them the same way and now the Add/Remove Windows Components is back on working conditions.
Hope this may help someone in the future.