This is the default behavior for Windows Installer on Windows 2000 Professional, Windows XP Professional and Windows Vista when the policy is not configured.
The 'Never' option indicates Windows Installer is fully enabled. You can use the options in the Disable Windows Installer box to establish an installation setting. If you enable this policy setting, you can prevent users from installing software on their systems or permit users to install only those programs offered by a system administrator. This policy setting restricts the use of Windows Installer.