When installations fail, the first thing to do is to check the setup logs.

The logs provide an insight as to what happened.

Most of the logs are in your %temp% folder.  The logs will look like:

   dd_netfx*

   dd_vsinstall80*

The SQL logs are stored in a different location though.  If SQL Server Express fails, the logs can be found under:

   \Program Files\Microsoft SQL Server\90\Setup Bootstrap\LOG

When submitting a bug or posting to a newsgroup, cut-n-paste the error and the lines above the error to help us debug your failure.