Has anyone done a unattended or silent install of MSMQ with Windows XP ?
when I try I need to go into Add/Remove Windows Components to finish the installation before the service will start.

This is "by design". MSMQ3.0 (Windows XP and Windows SErver 2003) was never meant to be installed at the same time as the operating system.
Instead it was designed for installation after the operating system is up and running.
The documentation in the deploy.chm file is incorrect.

The way to achieve this functionality is by running unattended installation of MSMQ after XP is installed and running.
You can accomplish this by launching your MSMQ unattended install from [GuiRunOnce].

For example:

[GuiRunOnce]
sysocmgr.exe /i:sysoc.inf /r /u:mqanswer.ini

Contents of answerfile:
=================
[Version]
Signature = "$Windows NT$"

[Global]
FreshMode = Custom
MaintanenceMode = RemoveAll
UpgradeMode = UpgradeOnly

[Components]
msmq_Core = ON
msmq_LocalStorage = ON
msmq_HTTPSupport = ON
msmq_TriggersService = ON
msmq_ADIntegrated = ON
msmq_MQDSService = OFF
msmq_RoutingSupport = OFF

[msmq]

Cheers
John Breakwell
Microsoft Limited