If you already had SQL Server Express installed (for example, with Visual Studio 2005), it may have prevented installation of the full set of client tools. This happened to me when I installed the evaluation version after installing VS 2005.
You can find out by going to add/remove programs and seleting Microsoft SQL Server 2005. Click Change. If there are multiple instances, you will see them. Select the Express instance (if present) and remove the client tools. After that, go back, select the Enterprise instance and choose to install the client tools.