Based on my experience, I suggest to install .NET developer environment in following order:
1) Microsoft SQL Server 2008 (Express with Tools or Express with Advanced Services minimum, as you probably will want to use at least Management Studio after installation… Sure if you have developer, standard or enterprise versions just install them)
2) Visual Studio 2008
3) Service Packs for Visual Studio and Service Packs for SQL Server (order here i think simply does not make any difference)
If you install SQL Server and Visual Studio in wrong order (i.e. Visual Studio and than SQL Server), you will probably have at least issues with Management Studio 2008 installation (update from Management Studio 2005) together with other ’small’, but time consuming issues…