If DPS is already installed on your system, install VisualStudio 2005, then do a Repair on DPS. (For example, on a typical version of Windows XP, the Repair process would be acessed from the Start Menu > Settings > Control Panel > Add or Remove Programs > Compuware DevPartner Studio...)
If you have not installed DPS yet, be aware that DPS is designed to automatically integrate with VS2005 when you install it. If this doesn't happen, check to see if your version of Visual Studio 2005 .NET is an early release. Early releases do not integrate with DPS 8.0.
To check the version, Open VS2005, navigate to the Help menu, and select About Microsoft... Make sure that the version number is 8.0.50727.42 or greater.