MS Agent is an ActiveX control that can load a number of different 'personalities', such as the wizard you'll be seeing if you're running IE3.0 or higher. It can also be embedded in a Windows application (since it's COM-based), or dropped into a Visual Basic program without much pain.
Essentially, it's a "social interface" -- in addition to being a graphical user interface, it presents a personality (in this case, a wizard) for you to interact with. If you've got the text-to-speach ActiveX control installed (which should happen auto-magically, after the Agent control is installed (also automagically)), it'll talk to you. If you have some speach recognition software installed, you can talk to it,etc.
There is another example of the use of MSAgent in a page thatI created for N.B.A. 601.