I'm not sure if it's legal to distribute the MS Agent files along with your application. I think you'll either need MS approval (you could get that if I'm correct, check the MS Agent developer site, it's somewhere on the MS Agent page), or provide a download link.

The end user will at least need the MS Agent Core files, a Text-to-Speech engine and the character. If you're going to use voice recognition they'll need that too. The total download will be around 4 to 8 MB if I'm correct...