As long as you can create a website in VS, you have the web components. Assuming you did a default install, full install, or didn't specifically remove it from a custom install, you should be fine. The runtime and SDK should be version 2.0.30226.2 if I recall correctly (I don't have a machine handy to verify), can you double check those? Also, if you go to Add/Remove Programs, make sure you don't have the Silverlight Tools for VS already installed or KB 949325 (if you have Vista, the latter will appear on the Installed Updates page; if you have a pre-Vista system, you need to select the checkbox to show updates). Let me know what you find out. You might also try uninstalling the SL runtime and SDK, though those really shouldn't be blocking the installer.
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SDET, Microsoft Web Developer team