I just inserted the DVD again and I see an option:
Run the SQL Native Client Installation Wizard. Is this what you are talking about?
>You have to install Workstation components.
>
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>>I installed SQL Server 2005 Dev Edition on Windows 7 PC. But when I go to the Programs -> Microsoft SQL Server 2005 I don't see an option for SQL Server Management Studio (as I see it on my existing XP PC). I believe that I installed the same version of SQL Server on my XP PC ( from the same DVD, although it has been a while). I don't remember right now if I had to download the SSMS separately or it was on the DVD and I missed to check an option to install it. What do you recommend doing?
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