Microsoft SQL Server 2008 Feature Pack, October 2008
http://www.microsoft.com/downloads/details.aspx?FamilyId=228DE03F-3B5A-428A-923F-58A033D316E1&displaylang=en

SQLXML 4.0 Not Installed in SQL Server 2008
http://blogs.msdn.com/xmlteam/archive/2008/05/08/sqlxml-4-0-not-installed-in-sql-server-2008.aspx
Prior to SQL Server 2008, SQLXML 4.0 was released with SQL Server and was installed by all SQL Server editions, except in SQL Server Express. Beginning with SQL Server 2008, the latest version of SQLXML is no longer included in SQL Server.
When SQL Server 2008 is generally available, the latest version of SQLXML will be SQLXML 4.0 SP1.  The URL for the site where you can install SQLXML 4.0 SP1 will be added to this blog entry, and to the SQL Server 2008 Books Online, when SQLXML 4.0 SP1 is available.
If an application that requires SQLXML 4.0 will run on a computer where SQLXML 4.0 is not installed, you will need to download and install SQLXML 4.0 SP1.


Microsoft SQLXML 4.0 SP1
SQLXML enables XML support for your SQL Server Database. It allows developers to bridge the gap between XML and relational data. You can create XML View of your existing relational data and work with it as if it was an XML file.

X86 Package(sqlxml.msi) - 7234 KB
http://go.microsoft.com/fwlink/?LinkId=130681&clcid=0x409

X64 Package (sqlxml.msi) - 12584 KB
http://go.microsoft.com/fwlink/?LinkId=130682&clcid=0x409