I have installed the above update through Windows Update. The update went through, reported a successful installation, and then straight after that it came back as an available update.
I have done it a few times and my update log now contains multiple successful installations of KB995706.
I have tried to uncheck it in the list of updates but it keeps coming back as well.
The machine is a Server 2008 RC2 Standard. It's got SQL Server 2005 Express as well as SQL Server 2008 Standard.
In the Event Log:
Installation Successful: Windows successfully installed the following update: Microsoft SQL Server 2005 Express Edition Service Pack 3 (KB955706)
Installation Ready: The following updates are downloaded and ready for installation. To install the updates, an administrator should log on to this computer and Windows will prompt with further instructions: - Microsoft SQL Server 2005 Express Edition Service Pack 3 (KB955706)