[[Updated 6th February, 2009]]
Simple answer - you don't.
MSMQ is part of the operating system so you cannot install a different version to the one that came with it:
|Version of MSMQ||Operating system|
|1.0||Windows NT4, Windows 95/98/Me|
|3.0||Windows XP, Windows 2003|
|4.0||Windows Vista, Windows 2008 R1 *|
|5.0||Windows 7, Windows 2008 R2 *|
* - Windows 2008 R1 and R2 are regarded as separate operating systems for this discussion.
If there is new functionality that you need then you will have to upgrade the operating system.
Note - "traditional" MSMQ messages are "backward compatible" so a message sent from a Windows XP client will be accepted by a Windows 2000 server. MSMQ messages sent over HTTP or PGM, though, will only work with destinations that support that functionality (so MSMQ 3.0 and above).