SQL Server Management Studio missing when I installed SQL Server 2005
This is a common problem, the SQL 2005 install does not often install manamgent studio, even though you tell it to install all the tools. The easiest way to get it installed is to look on the CD, or setup file location and run:
{drive}\ENGLISH\SQL2005\DEVELOPER\SQL Server\Tools\Setup\SqlRun_Tools.exe
if your using the X64 version use:
{drive}\ENGLISH\SQL2005\DEVELOPER\SQL Server x64\Tools\Setup\SqlRun_Tools.exe
Source
edit: My mistake, my lack of coffee had me read SQL Server 2005 Express, not Developer. There are some workarounds for Dev edition here:
http://aspadvice.com/blogs/ssmith/archive/2008/03/21/SQL-2005-Tools-Install-Experience-is-the-suck.aspx
http://aspadvice.com/blogs/name/archive/2007/09/24/Installing-SQL-Server-Management-Studio-with-SQL-Server.aspx