1. SQL does not install the client tools by default. If you have to have the tools installed on your server you’ll need to run through the installer again and install the client tools. On the page with the list of services the last one on the list is the client tools. It is common practice to not install the client tools on the server, and to only install them on your workstation and then to manage the server from your workstation.
2. Are you able to connect from any other machines? Have you installed SQL 2005 SP2 on both the server and your workstation? How about any of the other hot fixes? What information is logged in the ERRORLOG?