Try the fix here:

http://ww2.focusmm.co.uk/supportresults.aspx?problem_ID=1158&ess_code=ESS482

Hi Joe, I got LEGO Stunt Rally installed on my windows 7 but I have the same problem with the _msr.exe file. However the link in your answer doesn't work anymore. Do you still have a link, a program or a solution to this problem?

Thanks in advance.

Msr.exe is used to record keyboard and mouse inputs aka its Keylogger malware.

https://www.trendmicro.com/vinfo/us/threat-encyclopedia/archive/malware/WORM_AGOBOT.RT