The security patch KB 954459 (SP2 for MSXML 6.0) is installed on the Windows XP SP2 operating system via Windows Update. Then SP3 is installed on this system.
Now, if you install the Microsoft SQL Server 2005 on this system, the Setup is aborted when installing MSXML. This file is protected by the KB installed and can no longer be removed in Windows XP SP3.
This makes it impossible to install the SQL server on this system.
Open the Microsoft Article 968749 at the link below:
http://support.microsoft.com/kb/968749/ and follow the instructions in the "Remedy" section.
Then restart WinCC Setup and the installation.