SQL 2005 Management Studio Install
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.