Rob Relyea published a somewhat more comprehensive step-by-step list to get a Vista system loaded with WinFX and Visual Studio. Check it here.
NOTE: Everything except the Vista OS is publicly available, so go around, tell your friends and spread the bits.
UPDATE: Another important issue I ran into: When trying to install the VS2005 Beta 2 on Vista, it constantly failed and the installation stopped with an error when trying to install the MSXML 6.0 component. The solution is to install the MSXML 6.0 parser before you install VS 2005 Beta 2. The installer can be found in the VS directory in the subfolder wcu\msxml.