You will most likely run into an error if you run the AtlasSetup.msi on Windows Vista RC1 or higher. The error happens during the step where the Visual Studio templates are installed. I'm not sure exactly what the root cause is, but there is a workaround.
"Run as administrator..."
However, when you right click the AtlasSetup.msi file this option does not show up in the context menu. To work around this, start the Visual Studio 2005 Command Prompt using "Run as administrator..." (you can use the standard command prompt if you prefer). Launch the AtlasSetup.msi from the command prompt and the installation will work. Hope this helps.