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I have the same problem however I have purchased the Multi Site Manager Licenses.
I am using EE 2.1.1 Build: 20101020
I already have a site installed which is running fine. I followed the instructions here:
http://ellislab.com/expressionengine/user-guide/cp/sites/install.html
The only file I have which has a different filename than the instructions is: sites_lang.php On the install instructions it is sites.lang.php
Thanks,
Gareth.