On Command Prompt (both 32-bit and 64-bit Windows), change path to directory where the installer file is and execute the file. By default, the file name for 32-bit version is SQLServer2005_SSMSEE.msi and 64-bit version is SQLServer2005_SSMSEE_x64.msi.
On Setup Wizard, follow the instruction as usual. There won’t be the error message this time.