Unlike the DDK install, the Visual C++ 2005 Express installation might take a few minutes. For one thing, you have to use the Background Intelligent Transfer Service (BITS). If you get a message indicating that you must start this service, you will need to reconfigure the service to start automatically and then start it. This service might seem like a huge security hole just waiting to be exploited, but Microsoft has been pushing BITS for a long time, and there are currently no (publicly announced) known exploits taking advantage of this design, so you will need to go with the flow - at least until VC++ 2005 Express is fully installed.
As with the DDK, selecting the default installation path is recommended. Though an alternate path should not cause any problems, why ask for trouble? Unlike the DDK, there is no need to select all installation options. You may choose not to integrate the SQL Server. It isn’t required for any project covered in this book, but there is always the chance that you will one day develop an application that requires a database, so add it if you have the room.
The only strong recommendation that can be made is to include MSDN. Yes, it’s a large package that’s available over the Internet, but you can use Google to overcome most obstacles and you will not find a better integrated resource for developing software under VC++ 2005 Express, so do yourself a favor and check the MSDN box during installation.