Assuming 2005 (given the forum), there's a checkbox for "Workstation components, Books Online and development tools". On this screen, there's an "Advanced" button, which brings up a treeview that allows you to select which components you want to install. From here (I don't have an install on me - I've used screenshots from the web), you should be able to de-select Business Intelligence Development Studio.
2008 makes it a little more obvious, with a separate checkbox for "Business Intelligence Development Studio" below "Shared Features".