When attempting to install SQL Management Studio 2005 from a DVD, here are the instructions that have worked for me:
1) 32-bit processors
Run the SqlRun_Tools.msi file from \ENGLISH\SQL2005\DEVELOPER\SQL Server x86\Tools\Setup\ on the DVD
2) 64-bit processors
Run the SqlRun_Tools.msi from \ENGLISH\SQL2005\DEVELOPER\SQL Server x64\Tools\Setup\ on the DVD