The accepted answer was correct up until July 2011. To get the latest version, including the Service Pack you should find the latest version as described here:
For example, if you check the SP2 CTP and SP1, you'll find the latest version of SQL Server Management Studio under SP1:
Download the 32-bit (x86) or 64-bit (x64) version of the SQLManagementStudio*.exe files as appropriate and install it. You can find out whether your system is 32-bit or 64-bit by right clicking Computer, selecting Properties and looking at the System Type.
Although you could apply the service pack to the base version that results from following the accepted answer, it's easier to just download the latest version of SQL Server Management Studio and simply install it in one step.