Should you ever want to install SQL Server Management Studio Express 2005 you MUST run it as Administrator.
When you try to install it on Vista (by double clicking the .exe) it extracts the files to a temp folder.
Then it launches the setup, asking you some questions. After that UAC asks you to gain Administrative access.
No problem so far, but at the end the installer notifies you of error number 29506, it cannot modify the security properties.
Solution is described here, run the installer as Administrator from cmd.