If you read my earlier post you would know you could not get WinFX running with the RTM version of VS 05, but now that MS publicly just released the Nov CTP of the WinFX that is compatible with VS 05 RTM, so you can breathe in peace. :)
As always there are three pieces you need to get to, one is the WinFX Runtime itself (2.68 mb), two is the VS 05 WinFX Extensions (2.32 mb), and lastly the SDK (929 mb - yep its big) if you desire. The SDK is just documentation and does not include the runtime.