Like many others, I was getting an error code 29506 when trying to install SQL Server Management Studio Express 2005 on my Vista x64 machine. Searching for a fix kept sending me to posts talking about running the MSI as administrator from the beginning, but this didn't solve it for me, neither did it solve it for many other commenters out there.
The good news is, I did find a solution! And I bet that if you end up reading this post because of a similar error, we have something in common: we downloaded the MSI using Internet Explorer 7 (or 8)! The file gets stamped as "coming from the net", thus has restricted privileges, even when running it as administrator.
Simply right-click the file and select "Properties". At the bottom of the "General" tab, you should see a security message with an "Unblock" button:
Pressing that "Unblock" button will remove metadata associated with that file. Running the MSI again should now work fine, even without running it from an administrator prompt, but I did ran it from an admin prompt just to make sure.
Update: As many commenters mentioned, you still need to execute the MSI from an admin command prompt.
Hope this helps!