The problems with installing SQL Management Studio 2005 are well documented here and here.  But I recently had a unique problem of my own.

I ran sqlrun_tools.msi from the CD as suggested but it kept saying the components were already installed.  After many tries, I found that SQL 2005 Express Edition tools were installed and they were preventing the install of  the SQL 2005 Developer Edition tools.

I opened Add/Remove programs and selected Microsoft SQL Server 2005 and clicked Change.  I then removed all SQL 2005 Express tools.

Now, running the sqlrun_tools.msi file works and I can install all of the tools.