There's an installer for the script here:
Scroll down a bit, click the monkey next to Missing Lyrics 1.1 (280Kb).
You could also install it manually by following these steps:
1. Close MediaMonkey
2. Open Notepad, copy the text of the script, paste it into notepad, and then save the file with the appropriate script name (e.g. MissingLyrics.vbs). (Make sure it is saved as MissingLyrics.vbs and not MissingLyrics.vbs.txt)
3. Copy the script file to the following folder:
4. Restart MediaMonkey