Believe it or not, it’s not on their “Download Microsoft® SQL Server® 2008 Management Studio Express” page.
Both of the downloads failed to include the SQL Management Studio program for some reason (see below).
SQLManagementStudio_x64_ENU.exe 176.5 MB Download
SQLManagementStudio_x86_ENU.exe 168.3 MB Download
But I did find a working installation here on their “Microsoft® SQL Server® 2008 R2 SP1 – Express Edition“. I just needed the runtime application so I downloaded this installation x64 x86.