There are two parts to MSLU: the loader and the DLL itself. The loader is only needed for C and C++ applications. If you are using some other development language, you do not need to download this. You can obtain the loader (Unicows.lib) from the Microsoft Windows Platform SDK site at http://www.microsoft.com/msdownload/platformsdk/sdkupdate/ as part of the "Core SDK."
The DLL is part of the redistribution pack, available from the Windows Platform SDK site at http://www.microsoft.com/msdownload/platformsdk/sdkupdate/psdkredist.htm. Look for MSLU on the list of redistributable packs.