Alex,

If you want SSIS, you will not find the Designer in SQL Server Management
Studio.  If you installed all the client tools you should also have  SQL
Server Business Intelligence Development Studio, which includes the SSIS
designer.

If you want to use legacy DTS and you installed the legacy support package
for SQL Server 2005, then Management Studio will have the DTS designer
under:
   Management
       Legacy
           Data Transformation Services

RLF