Handy post giving step by step on building your own SharePoint 2007 dev environment.
You might not want to follow every single step, as it is, but it saves you installing something in the incorrect order and having to uninstall it (if you are lucky).
If you don’t need VS2005, save time and just install VS2008. You can also install the management tools for SQL separately, later – just let SQL Express get installed. That way you needed bog down your dev VM install with too much extra fluff.