The Excel Analysis Toolpak is a set of additional functions for Excel used for statistical regression; they aren't used by the majority of Excel users, so they're treated as an Add-In. Unfortunately, as an Add-In, when Excel needs them it asks the user to load the installation media or Office CD, which can be confusing.

Office 2007 and Office 2010

Excel 2007 loads the Analysis Toolpak by default, so there's nothing to download or install. If you're using Excel 2007, you've already got the Analysis Toolpak ready to run. The open beta of Office 2010 shows the same behavior.

Office 2003 and Earlier

The standard Office installer from 1997 onward loads the files needed for the Analysis Toolpak on your hard drive--but doesn't tell Excel where it is. You can install the Toolpak by going to the "Tools" menu and selecting Add-Ins. One of the check boxes for available Add-Ins will be Analysis Toolpak. This will load those functions into Excel the next time you re-start the program. If this doesn't work, you'll want to get your Excel CD-ROMs and do a custom install, adding all Microsoft Excel Add-Ins.

If You Don't Have Your CD-ROM

If you can't find your CD, or it's been damaged, and you didn't have those files copied to your hard drive, you can go to Microsoft.com and install Office 2003 Service Pack 3, which updates and replaces ANALYS32.XLL and the other files of the Analysis Toolpak. You will still need to use Tools and Add-Ins to get the functions to run.

Source:

Microsoft: Office 2003 Service Pack 3: What Files Are Added

Microsoft: Office 2003 SP3 Download Page