I encountered a problem when installation SQL 2005 on my Vista Ultimate machine (which I know installed because I've just completed my notebook installation).
The error message is along the lines of:
SQL Server Setup Failed to compile the Managed Object Format (MOF)
The general consensus is that this has to do with a corrupt WMI installation, and it seems the quickest fix for this is to run "winmgmt /salvagerepository" at a command prompt. You need to be running the command prompt as an administrator. This may also need to be run more than once, until you get a "WMI repository has been salvaged" message. If this fails, and I would assume this after about 3 tries of the above, I recommend you look at the following link:
http://msdn.microsoft.com/library/default.asp?url=/library/en-us/wmisdk/wmi/reinstalling_wmi.asp
After that, you can simply click the Retry button and the SQL installation continues.