I've run into this same problem trying to install SSMS 2008 (SQLManagementStudio_x64_ENU)
I just tried running the install program as administrator, and got the same message that I already was getting: must have .NET 3.5 SP1 installed.
I looked around and found this post that explains how to determine what version of 3.5 is already on my computer. (I have Visual Studio 2010 RTM and it installed the latest version of .NET 4)
Looking in my own registry the 3.5 version number matched what is said to be 3.5 SP1 in this post, and in 1033 my SP value was 1, but in the parent folder, v3.5, SP was 0. Switching this SP value to 1 got rid of this problem I was having with the installer.