SqlServer 2005's installer is a bit hopeless. It needs IE to get you started. Not a problem. I open the page in IE 6 on XP, I give it permission to run objects/activex and what have you. Then I click a link. "Error on page", IE says.
So hunting through the sourcecode I find a link, to an .hta page. Also doesn't work. So I hunt through that sourcecode as well and find a setup.exe. Unfortunately for me, it was in the Tools folder. I run it, but at the end, of course, no SqlServer 2005 installation. Just docs 'n tools. Though the installer gives you the suggestion everything is installed. It even displays the dialog where it explains you have to run the config wizard to start services.
Why on earth isn't there a single installer, which simply starts with a .exe, like in SqlServer 2000? It's great Sqlserver finally got a lot of Oracle's features, but one 'feature' wasn't that required to be implemented in SqlServer: Oracle's horrible installer.
Ok, take 14...
(Update): Ok, the setup.exe in the Servers folder is the real setup. So don't bother with the setup in the Tools folder nor with the .htm files or .hta files. Also, if you're installing on a system where SqlServer 2000 is already installed, be sure to select during the setup of SqlServer 2005 for a named instance and give it a logical name, like SqlServer2005 (don't include spaces). This way you can refer to the SqlServer instance as yoursystemname\SqlServer2005 in the connection string for connections to SqlServer 2005 and yoursystemname in the connection string for connections to SqlServer 2000.
Another tip: after installation of SqlServer 2005 and/or VS.NET 2005, you'll probably notice a new service which eats a lot of CPU time. This is the NGEN service, which is NGEN-ing the .NET assemblies and sqlserver .net code. So be patient (takes a couple of minutes)