Hello James,
Have you downloaded 4.1 or 4.1.1 distribution?
Actually, all ECF 4.x versions should work on both SQL 2000 and SQL 2005 servers.
I looked into the ECF 4.1.1 installation scripts, and they do not contain any references to sys.foreign_keys, and, furthermore, successfully run on SQL 2000.
In what script are you getting the error?
Nadya.