You can find the necessary links in the OP of the http://www.gamesas.com/index.php?/topic/1204129-morrowind-graphics-extender-mge/ and install both of them. This http://support.microsoft.com/kb/917607 is required if you want to read the TES CS help file on Vista or Windows7.
http://www.microsoft.com/downloads/en/details.aspx?displaylang=en&FamilyID=3b170b25-abab-4bc3-ae91-50ceb6d8fa8d
http://www.microsoft.com/downloads/details.aspx?familyid=A5C84275-3B97-4AB7-A40D-3802B2AF5FC2&displaylang=en