On a clean windows machine I installed Web Dev Express 2008. That also installs SQL Server Express 2008. I just wanted to add SQL Server Management Studio Express (SSMSE) 2008. I had problems, and I'm not the only one:
http://msdn.microsoft.com/en-us/library/ms365247.aspx
The msdn page has a lot of suggestions and a lot of people who say the suggestions don't work, but as Jeff and Joel would say, the forum format doesn't work well at pointing at the definitive answer, so I am hoping the StackOverflow wiki/voting format will be better at having the real solution bubble up to the top.
BTW, what I ended up doing was uninstalling all the 2008 stuff that Web Dev installed, and then I downloaded the 2005 file and that went easy. Possibly, after uninstalling what Web Dev installed I could have been successful with the 2008 stuff too, but i didn't try.
This was all on Windows 7 pro, but the way, but I had a similar traumatic experience on XP.
EDIT1 - Somebody DOWN voted this? But... why? This is a real programming issue that many of struggled with and there is no canonical answer. This is THE place for community vetted/voted canonical answers!
Some quotes from comments at the MSDN download page:
"Thoroghly confusing and no clear Final Answers? Someone needs to summarize the results of the previous postings on this page and put an authoritative stamp on some of the findings and declarations"
"Like everyone else posting here, I have gone through this entire cycle and it is hugely frustrating".
"you have taken something that was working well and had NO need to be this complex and managed to completely confuse everyone that is using it and make it a general PITA"