In bus transports like MSMQ there is no central place from which multiple instances of an endpoint can receive messages concurrently. Each instance has its own queue so scaling out requires distributing of the messages between the queues.
The distributor is located between the senders and the receiving cluster. The role of the distributor is to forward incoming messages to a number of workers in order to balance the load. The workers are "invisible" to the outside world because all the outgoing messages contain the distributor's (not the worker's) address in the
Version 4 of MSMQ, made available with Vista and Server 2008, can perform remote transactional receive. This means that processes on other machines can transactionally pull work from a queue on a different machine. If the machine processing the message crashes, the message roll back to the queue and other machines could then process it.
The biggest problem with 'remote transactional receive' is that it gets proportionally slower as more worker nodes are added. This is due to the overhead of managing more transactions, as well as the longer period of time that these transactions are open. In short, the scale out benefits of MSMQ Version 4 by itself are quite limited.