I recently had quite some trouble trying to install Microsoft SQL Server Management Studio on Windows Vista Ultimate. Note: I'm not referring to the Express edition which can be downloaded separately and installs like a charm. The root cause seems to be that once you've got SQL Server Express installed - maybe via Visual Studio 2005 or Visual Studio 2008 - the SQL Server 2005 installer thinks, there's nothing to be added to your install and quits.
Other solutions Google revealed pointed to either running SqlRun_Tools.msi or SqlRun_Tools.exe manually from the \Setup folder and did not work for me.
What did work was to opening a command prompt and running
setup SKUUPGRADE=1
where setup points to the 2 MB setup.exe file in SQL Server 2005's DVD root.
Hope this might help others, too.