Anti-XSS is using the MS-PL license. The source code can be found at CodePlex [codeplex.com]. And the binary can be found in the free MSDN [microsoft.com] downloads.
An older tutorial can be found in the MSDN library which describes in a bit more detail where common places where Cross Site Scripting attack vectors can be found, and how to fix these areas using the Anti-XSS library.
Microsoft Anti-Cross Site Scripting Library V1.5: Protecting the Contoso Bookmark Page [msdn.microsoft.com]