I am missing the whole of MSDB, or just some tables - how do I create them?

A. A. In the INSTALL directory are the scripts that SQL runs itself to create the MSDB database and it's tables. Before running these make sure the devices/files for msdb are there and create them if not.

The scripts you need to run are :-

instmsdb.sql
servrmsgs.sql
web.sql

These are most easily run with ISQL/W or ISQL/OSQL.