The January CTP install notes recommend installing the WinFX components before VS2005, but according to Michele Leroux Bustamante, who has done a LOT of work with WCF, if you are working with the newer (non go-live) February CTP  release, it's okay to install all of theWinFX ontop of VS2005. This is great to know because I can store a copy of a VPC with WinXp and VS2005 already installed, then use it when testing new WinFX bits as they are released.

See Michele's blog post for links and installation order.