Eric Appel recommends installing SP1 for Visual Studio 2005 and the Visual Studio 2005 SP1 Update for Windows Vista Beta. Let's drill into that name a little bit more. Starting at the end, it's a Beta of Visual Studio 2005 SP1 Update for Windows Vista. That is in turn an "Update for Windows Vista" of "Visual Studio 2005 SP1". You have to start with SP1 first. But SP1 has nothing to do with Vista.
SP1 is a common-or-garden service pack for Visual Studio. It fixes a pile of little things that were found in Visual Studio. Some are just syntax colouring, some are real issues. And it can be argued that you should only install it if you need it. There are some issues with the service pack itself: Heath Stewart has a summary with workarounds where they are known. It can take a long time to install, and you should make sure you have enough disk space, because if the install fails the rollback is a little overenthusiastic ... you might have to reinstall Visual Studio 2005 to make sure certain libraries are in place. That said, lots of people are glad they installed it.
If you want to install the update for Vista, then you need to install SP1. And once you've done that, you'll find many things both simpler and faster. Happy me.