If you downloaded Visual C++ Express 2005 hoping to do some low-level programming, you might have run into the problem that VCExpress doesn't include an assembler. This is a problem if you need to build someone else's code and you don't want to port it to use another assembler. (Not advisable unless you plan to debug it.)
Browsing some random links, I happened upon an entry in the Visual C++ Team Blog -- which noted that the Microsoft developer division snuck out a freely downloadable goody in the past week:
Microsoft Macro Assembler 8.0 (MASM) Package (x86)
This is easier than downloading the Kernel-Mode Driver Framework. The part about it only being for non-commercial use is a bummer, though.