Atlast after struggling for couple of hours I was able to install SQL Server 2005 express edition onto my laptop.
For those who weren't aware, I have bought a new DELL Inspiron E1505 with Windows XP Media Center as its OS. That said, I wasn't able to install SQL Server 2k (even developer edition) on to this OS. So I decided to go with SQL 2005 express edition and downloaded it from Microsoft site few weeks back.
After that when I tried to install the software it started throwing all sorts of errors. Bit of googling helped me to find out the SQL Server Readme documentation. This surely helped me a lot and saved my day :)
Related post : http://vadivel.blogspot.com/2006/05/sql-server-2000-not-compatible-with.html