Disclaimer: I use MS Paint for my own amusement. I have never committed a crime against the World Wide Web such as using it to create entries for photoshop contests.
Whenever I try to start it, I get Windows XP’s “Paint has encountered a problem and needs to close.” window.
Under the windowz component wizard… (which is what you should get to when you click on ‘add/remove windows components’), try under ‘acessories and utilities’, and then ‘acessories’
That’s where it is under my windows XP professional, at least. If you still can’t find it, maybe should should post at which level you get lost and what you see in the list there.