After I posted about the problems I was encountering with the Silverlight installation, Microsoft's Aaron Stebner contacted me and offered his help. Aaron is a .NET setup specialist. After enabling verbose logging and his inspecting my setup log files, the answer was to uninstall .NET 2.0 and then reinstall 3.5. Unfortunately, my .NET 2.0 installation was apparently corrupted, because the framework didn't appear in the "Add/Remove program" dialog.
Thankfully, removing corrupted .NET installations is facilitated by a tool Aaron published. So after uninstalling completely all the .NET runtimes I had on my machine, running the tool, and then reinstalling the .NET 3.5 runtime, it worked.
The rest was a breeze: Reboot, start the Orcas setup, select the components, install, reboot, install MSDN, reboot et voilà!
I am going to start by studying a few samples and then try going further on the road to Silverlight :-)