I am sure, VS 2005 express products are a kind of great leap towards a normal developer who just want to develop and learn application as per thier interest. I have got a feedback from some students and fellow developers regarding the download mechanism that these express product installers follows. These installers are typically very small in size but downloads the actual components on the fly by connecting to internet. Roshan has blogged on this issue as well to get the actual setup.
Based on cutomer feedback Microsoft also has kept manual setup instrcutions along with downloads...
Mandatory Step :- Download and install Microsoft .NET Framework 2.0 Beta: Microsoft .NET Framework 2.0 Beta (25 MB). Click Open to install the product.
[Optional] Download and install Microsoft Visual J# .NET Redistributable Package 2.0 Beta: Microsoft Visual J# Redistributable Package 2.0 is required to develop with Visual J# in Visual Web Developer 2005 Express Edition Beta. Microsoft Visual J# .NET Redistributable Package 2.0 Beta (4 MB). Click Open to install the product.
[Optional] Download and install Microsoft MSDN Express Library 2005 Beta: The MSDN Express Library contains additional product documentation for all Visual Studio Express Editions. Microsoft MSDN Express Library 2005 Beta (162 MB). Click Open to install the product.
[Optional] Download and install SQL Server 2005 Express Edition Beta: SQL Server Express is an easy-to-use version of SQL Server 2005 designed for building simple data-driven applications. SQL Server 2005 Express Edition Beta (36 MB). Click Open to install the product.