>Success. I think the issue was that when I installed VS 2005, it installed SQLExpress with Workstation Components. Then when I was installing SQL Server 2005 it was skipping Workstation components (seeing that this item was already on the computer). What I did is removed Workstation Components (those were probably part of the SQLExpress). Then I ran the SQL Server 2005 Setup again and it - this time - installed SSMS.
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>Now I have no excuse not to do something in SQL Server <g>.

Why didn't you go with SQL 2008?