Apparently I'm missing the correct JSCRIPT.DLL file.
Tried running Internet Explorer 5 repair from Control Panel Add/Remove.
The file was not replaced with the correct version.
Here are the messages I get when I try to run IE 5 Repair.
I get the following messages:

Internet Explorer could not be repaired.
Please run setup again to reinstall all components.

Microsoft Internet Explorer 5 Repair
Internet Explorer 5 cannot be repaired due to the following errors:
Version 1.0.0.806 of file JSCRIPT.DLL exists, but the version needs to be greater than 5.0.0.35111.

I also tried running IE 5 install called ie5setup.exe.
That didn't make any change to my existing JSCRIPT.DLL file either. What should I do?