After the install of the WinFX SDK failed I tried to install Visual Studio 2005 Beta 2 on Windows Vista. The first attempt was unsuccesful because the MSXML 6.0 Parser could not be installed.
I remembered seeing an msxml folder on the Windows Vista DVD. It also contains an installer for MSXML6. Its location on the DVD is supportwinfxwcumsxmlmsxml6.msi. That version installed just fine. After that the Visual Studio installer detected that MSXML6 was already installed and did not try to install it again.
With that fix Visual Studio 2005 Beta 2 installed with no further problems.