Is it possible to install Management Studio yourself, and if so, is there a separate exe download / install for it?
Microsoft SQL Server 2005 Management Studio Express
and 2008 added:
Microsoft SQL Server 2008 Management Studio Express
Yes, use a custom installation and chose not to install the database engine.
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you can download the management studio yourself, but when you install Microsoft SQL Server 2008 R2, the management studio is also installed