The CI and AI bits mean "Case Insensitive" and "Accent Insenstive" (which are checkboxes in the installation dialog if I remember correctly). The CP1 part is, I think, "Code Page 1" and refers to the US region whereas without CP1, it refers to the UK region (or maybe, more generally, non-US English) - this may also be a separate selection in the installation dialog.
If you don't se these options, it will default to the codepage most suitable for the system default international settings in Windows (note: this may not be the same as your profile's international settings) at the time of installation. You can change these (both yours and the system default) via the control panel.
UPDATE:
I've downloaded and run through the installation for SQL Server Express 2005 (SP3)...
I deselected "Hide advanced configuration options" on the "Registration Information" page (but not sure if this was necessary). On the Collation Settings" page I selected "SQL collations (used for compatibility...)" and then "Dictionary order, case-insensitive, accent-insensitive, for use with 1252 Character Set". Everything else was left on defaults.
The result was a SQL Server Express 2005 installation using the SQL_Latin1_General_CP1_CI_AI collation.
More information on this topic can be found here: http://msdn.microsoft.com/en-us/library/ms180175.aspx