Because your If/EndIf structure is wrong.

Here is maybe a better example, but not sure what you're really wanting.

Also, please post using the UBB Tags to preserve the formatting of your code.

Code:
If Exist("c:\MMClientSP2.exe")
 ;do nothing?
Else
  If Instr(@PRODUCTTYPE,"Windows XP Professional") And instr(@CSD, "Service Pack 2")
     COPY "\\tahoe\packages\mmclientsp2.exe" "c:\"
     IF EXIST("c:\Program Files\Avaya Modular Messaging\Client\vr.exe")
       SHELL '%comspec% /c "CPAU -u sssnt\Install -p Install1 -profile -ex "msiexec /i \\tahoe\packages\mmclientsp2.msi MASIP=192.168.5.40 /qn"'
     EndIf
  Endif
EndIf