It's a normal Windows component and is described in Microsoft's Knowledge Based article here;
I can't say why it didn't appear in previous re-installs in your Add/Remove listing, but I would leave it be.
Is the system otherwise working well, and can you install software without problems?
If so, it is not causing any problems.
I just completely re-installed Windows XP Professional again, but unlike before, this time in "Add or Remove Programs" there is a "Windows Installer 3.1 (KB893803)" entry there. I don't know what it is or if I should/could get rid of it without damaging my system. Last time I re-installed Windows XP, using the same boot disk and everything, there wasn't a "Windows Installer 3.1 (KB893803)" program (atleast not to my knowledge). Should I remove it? It says that removing it could make my computer programs not work.