It is not full DTS it is a limited version of DTS provided to read SQL Server 2000 DTS files and copy databases, it came with 2005 service pack 1 but it will not install by default.  The thread below explains how to rerun the service pack setup and install it.  Hope this helps.

http://forums.asp.net/thread/1407898.aspx

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Kind regards,
Gift Peddie

Thank you Caddre.

When I installed it after reading your post, I just downloaded the SP1, and selected all the options I could. The upgrade failed at the database level (so I don't have SP1 installed), but the DTS was still installed, fortunately.

So people reading this, if the upgrade fails, don't worrie!

Shados,

It failed because It is not an upgrade it is a simple service pack one you can open it I usually do it is nothing but .sql files SQL Server and Windows uses as needed, because if you run this service pack with the developer edition and above, it will not install DTS because it is not needed DTS in the full editions is SSIS(integration services) part of the second management studio the one for BI(Business Intelligence)

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Kind regards,
Gift Peddie

Actualy in this case thats just the thing, the service pack install failed (mostly because of a permission issue that I have since resolved). Its not a big deal. I just mentionned it in case someone has the same issue: the Service Pack doesn't even have to install correctly, as long as the client tools get there, as it doesn't rollback anything.