I am currently a C# programmer and have been interested in learning more about C++ and data structures. I found the CS106B class offered free online through the Stanford E
Reading through handout 5P makes it seem like the installer will expect the file structure VS2005 will create - especially this sentence: "Run (and quit) Visual Studio (you can go ahead and register your copy if it asks you). It is important that you have done this at least once before proceeding to the next step."
Try creating a folder structure like: (under "My Documents") "Visual Studio 2005\Projects" and see if setup.exe will work.