SQL Management Studio comes in two flavours:
1. SQL Management Studio
This edition comes with all versions of SQL Server 2005 except SQL Server 2005 Express Edition. This edition has various advanced features like import data from other database systems, export data to other databases etc.
2. SQL Management Studio Express
SQL Management Studio Express is part of SQL Server 2005 Express Advanced edition. You can download Management Studio Express as a separate tool also. Some of the key features like Import data, export data etc are missing in the Express edition of Management Studio.
For learning purposes and development purposes, the express edition serves the purpose. After all, it is FREE !
The non express edition of the management studio is also free when you purchase non express editions of SQL Server 2005, but you have to pay several thousand dollars for the SQL Server license.