Installing IE Enhance Security On Win XP PRO 64

I’m running MS Baseline security Analyzer and I get Security Risk, because I don’t have IE Enhance Security installed. So, I follow the instruction on “How to fix it”, but I don’t see anything under Add/Remove Windows Components.
How can I fix this? I know that this is a Win 2K3 Server feature. Can this be installed on Win X64?

Thank You!