Please insert the second CD of SQL Server 2005 and install client tools from there.
If you ran SQL Server 2005 from a network share or from a local drive, please locate the “Tools” folder on the media and run setup from there.
Before doing the above, please use Control Panel to verify you don’t have SQL Server 2005 Management Studio Express installed. If you have it installed, please uninstall it first.
Hope this helps.