Chris at Stumbling and Mumbling is wrong, I think, to defend Margaret Thatcher for her statement that 'there is no such thing as society'. At any rate, he's wrong in the way he defends her. Chris says that she meant that 'it is only individuals who do things', and he identifies this view with methodological individualism. But one can assent to the claim that it's only individuals who do things, without agreeing to the thesis that nothing but individual action enters into the explanation of social facts and social outcomes.
I've argued this before in a somewhat different context, and I don't want simply to repeat myself. Here, though, is an analogy. Is the game of cricket - or, for that matter, a game of cricket - no more than what the individuals playing it do? I would say not; because it is also constituted by a set of rules, such that if you change one of these rules the game becomes different. True, it's individuals who apply and interpret the rules and who follow them. But the rules aren't the people, and the rules are part of what the game of cricket is. This is not reducible, therefore, to individual actions and nothing but; and there are other things than individual actions that have real social effects, even if only via those individual actions.
It would be false, in sum, to say there is no such thing as the game of cricket. Mutatis mutandis it is false that there is no such thing as society. Like the rules of cricket, social structures, political institutions, etc., have real effects.