I need file "OSMNS.dll"

@mhaase : i'm using winxp embed sp2. i'll try your solution, howerver when turn on wsm is bluedeath screen. it's not boot 

somebody help me 

Winxp embed sp2 or any other Embedded Windows OS is not supported with WSM.
Please have a look at the product release notes on the list of supported Client and Server OS's.

Sorry to repeat: Winxp embed sp2 or any other Embedded Windows OS is not supported with WSM.
Please also notice that the support policy for WSM is the same like for all other products: current version and previous one.
So version 4.0.x and 3.6.1 are the only versions currently supported, and preferably the customer is always using the most recent version (4.0.1 as of today).
If you need further assistance, please contact the local Wyse office in your region: http://www.wyse.com/about/contacts/wwindex.asp

 Originally Posted by mhaase 

i'm push firmware and os from wyse support, wyse provide winxp embeded sp2 for user, why embeded os is not support wsm 

Are you running Win XP without any Service Pack on the reference machine?
Please point to the System32 directory if the installer is asking for a path.
This is from an older installation guide and maybe may help you too:

Problem: You are installing the WSM Client on Windows XP (without a SP) and you
encounter an error message that a .dll file is missing.
Solution: Obtain winhttp.dll and copy it into the Windows system32 folder. After you
have done this, begin installing the WSM Client as described in "System Maintenance."