Yes you can.
We try to avoid it (just in case...)
Books online has the cluster install procedure.
-Keep in mind to prepare your Windows groups to host the instances service accounts
- Keep in mind you will have to reboot :ermm: after install.
- keep in mind to upgrade to SQL2005 SP2 and at least Cumulative Update 2 (If you can go for CU9)
- host your cluster resource at the node where you are going to launch the setup.
- don't open an RDP session to each of the nodes, but only use one session to perform the setup.
btw: We prepare an setup ini-file for all our SQL2005 instances.
This way we can prepare using a template and double check the choosen configuration, ....