In the process of rebuilding my work laptop I needed to install SQL Server Management Studio Express (2005 edition). The installer exited towards the end of the installation with Error 29506. It the rolled back the install and I was left with no Management Studio to use.
A quick bit of Googling showed that it was down to a permissions error, although the helpful message that the installer showed me did not indicate anything of the sort.
To resolve the problem all I had to do was open a command prompt as an Administrator and then navigate to the MSI installer and run it from there.