I ran into a problem with a SQL 2005 installation today that I wanted to jot a note down about. Microsoft's volume licensing website gives us three files for SQL 2005. The key is not to extract them all into the same directory. If you do, you'll end up with an installation tool that is missing the server components.
To avoid being completely confused, extract the files like this:
<root>\SQL 2005 ServicePack2
By the way, run Setup.EXE from the Server directory and don't forget to patch SQL with the latest Service Pack!