Thanks to StuCampbell on Twitter, I've discovered that MSMQ doesn't ship with Windows 2008 Web Edition.
It was there back in Windows 2003:
(Yes, it was easier to locate a VPC of a Windows 2003 Web Edition server and take a screenshot than find some URL that says MSMQ should be available in it. I expect I will now immediatly find such a link).
But the "Differentiated Feature Comparison by Edition" page on Microsoft.com shows this has changed in Windows 2008:
Microsoft Message Queuing (MSMQ)
I'll ask around to see why this change was made but I'm assuming it was down to the number of people that used MSMQ on Web Edition being insufficient to justify the investment in time and money during the development and test cycles.