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The install files need to be kept in the directory structure that they are on the CD, so you need a folder named "Servers" and a folder named "Tools" on the top level, with the appropriate files under them.
Re: removing the 'Customer Feedback' and 'Customer Experience Improvement Program' nags, if you were hoping to hook the key path to an advertised shortcut so that a self-heal creates the HKCU keys, there aren't any such shortcuts. You'll need to either add one or edit one of the existing ones. I chose to use the 'SQL Server Management Studio' one (which launches SQLWB.EXE).
If you want to also install Visual Studio 2005 (the free version that comes with Business Intelligence Development Studio) add this entry to your ADDLOCAL list: SQL_WarehouseDevWorkbench