There used to be a problem installing SQL Express 2005 on windows XP SP3 due to MSXML core services. I guess it is applicable to all edition of SQL Server.
I don't know the installer on the download section has been actually fixed or not but
following MS support article lists as a known problem and suggest resolution.
SQL Server 2005 setup fails when MSXML Core Services 6.0 Service Pack 2 has already been installed
http://support.microsoft.com/default.aspx/kb/968749?p=1