I am frustated because when I try to install the evaluation edition of SQL Server 2005 it shows only the books online check box. I have installed Visual Studio 2003 first and the .NET framework 2.0 SP1.
Which version of SQL Server do you have? The standard and enterprise versions require a server operating system, even for the evaluation version.
To install SQL Server on a workstation operating system, you need either the Developer Edition installation, which is basically enterprise version but with limits to production usage, you can use it for development.
Note that the developer edition usually follows a license for one of the full versions, or an MSDN subscription, I'm unsure whether you can buy developer licenses separate. In either case, Developer is not free, in the sense that you won't get it without giving Microsoft some money.
On the other hand, you can use the Express edition, which is a version that doesn't have all the enterprise-y features. It is free, but as I said, doesn't have all the features that Enterprise/Standard/Developer have, so it depends on what you intend to use it for.
If you intend to develop software for it for distribution over the internet, then I would advice you to use the Express version and limit yourself to the features it support. That way, more people would be in your target group.
Can your problem be that you've (or a program has) already installed a default instance of SQL Server 2005 on your machine and now you are trying to install another default instance, which is not allowed by design? You could check your Windows Services if there is a SQL Server service running.