Because of the way Microsoft builds a lot of the apps that can now be 'hidden' (as of Win2K SP3, already released, or WinXP SP1, which should be out very soon), IE, Windows Messenger, Windows Media Player, and the like all 'bring along' a lot of stuff that other programs can use.
So if I want to display HTML in my program, I can just use the IE rendering engine to do it. And I know that you've got IE, because you're running Windows 98 or later. Etc.
So it's not really all that practical to remove these things; that makes for more work for developers.