Here's a good place to start for anyone in this situation. This is for reference purposes only considering you must have met all the pre-reqs before installing. BizTalk Server 2006 Installation and Upgrade Guides
Basic questions to follow…
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What version of BTS 2006 are you trying to intall?
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On which OS are you installing this?
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Is this for development or production?
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What version of SQL Server are you using?
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Is it local to the box or on a separate server?
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Do you have the SQL Client installed?
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Latest OS patches from Microsoft Update?
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Visual Studio 2005, .NET 2.0 Framework?
I don't want to go to far with a suggestion since I don't really know what's causing this.