The published support docs for ExpressionEngine 2 mention purchasing and installing MSM.
Where do I even find these files?
In Expressionengine v3 and up it comes preinstalled. You just have to enable it and purchase a license for each additional site. Go to your general settings and click on the radio button to enable site manager.
Then you will see another option in the dropdown list when you click on Developer called site manager, from which you can name and manage your other sites.