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:
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.