Download the 3Mb file. This is a small download but it is the first part of a much larger set of files so don't attempt this unless you have a DSL or faster Internet connection.
You should include the MSDN 2005 Express Edition in the download unless you have done this already for the Visual C++ download. If you have already downloaded that then you may already have this. It contains projects, source code and help so it has to be downloaded, but only once!
You don't need SQL Server 2005 now but it will be useful in the future. It can be downloaded at a later stage.
You won't need the Platform SDK now but you might find it useful in the future.
Now start the download.
On the next page : Run and Register Visual C# 2005 Express