Just a reminder that SQL-DMO will be removed in a future version of Microsoft SQL Server - so if you have an application that depends on SQL-DMO, the clock is ticking (although you have a few years to correct probably).
Also, if you are installing SQL Server 2008 on a fresh server (no other previous versions of SQL installed) and you need SQL-DMO, you can install SQL-DMO via the Microsoft SQL Server 2005 Backward Compatibility Components. Or you can also get it off of the install media under \x86\Setup\x86\SQLServer2005_BC.msi.
Building something new? Don't use SQL-DMO - use SMO (SQL Server Management Objects) instead.