If you have installed SQL 2005 express edition and want to install BIDS (Business Intelligence Development Studio) then go to here Microsoft SQL Server 2005 Express Edition Toolkit
This has an option to install BIDS on my machine, and is the only way l could get hold of BIDS for SQL Server 2005 express edition.
Also this package l think has also allowed me to install both BIDS 2005 & 2008 express edition on the same machine.