Then go back through the install process as follows: Double click on SQLEXPRADV_x86_ENU.exe to load the SQL Server Installation Center and then go to Installation > New SQL Server stand-alone installation. Note: You do not need to uninstall any of the other SQL Server 2008 applications that also appear in the "Add or Remove Programs" dialog. The removal process will only remove one instance at a time and if you have installed more than one instance you need to keep going until all instances have been removed and the application completely disappears from the Add or Remove Programs" dialog. To delete that first instance, you must go to "Add or Remove Programs" and remove "Microsoft SQL Server 2008". Through much pain and torture I learned that the Management Studio can only be installed during installation of the first instance.
What happened in my case was that I installed Visual Studio 2008 Express and during that process a stripped down "Instance" of SQL Server 2008 was installed that did not include the Management Studio.
Like many others, I spent countless hours trying to figure out how to install the Management Studio for SQL Server 2008 Express - Advanced installation (same should apply to the w/ Tools version). The 2008 version of the Management Studio is not a stand alone installation and can only be installed as part of the SQL Server 2008 Express with Tools or Advanced installation.