Yes, it is possible!
First, download Visual Studio 2005 Extensions 1.1 for WSS 3.0 from http://www.microsoft.com/downloads/details.aspx?FamilyID=3e1dcccd-1cca-433a-bb4d-97b96bf7ab63&displaylang=en. You can also download version 1.2 for Visual Studio 2008 from http://www.microsoft.com/downloads/details.aspx?FamilyID=7bf65b28-06e2-4e87-9bad-086e32185e68&displaylang=en. Now, if you try to install this on an OS other than Windows Server 2003 or 2008, it won't install. What you have to do is add a string value to the registry:
HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Shared Tools\Web Server Extensions\12.0
"Sharepoint" (String value) ="Installed"
And that's it! Both installers will do their job without complaints.
BTW, I learned this from Martin Vollmer's Blog: http://blogs.msdn.com/martinv/archive/2008/10/31/how-to-install-visual-studio-extensions-for-windows-sharepoint-services-1-2-on-vista-or-windows-xp-vsewss-exe.aspx. Thanks, Martin!