You can use SSMS on your workstation. Personally I don't feel that user apps should be installed on a server.
(no, it can't be downloaded, you'd install SSMS from the SQL installation disks/ISO). Also, SQL Agent is not part of SSMS. It's a SQL Server service, it's installed with the database engine.
Gail Shaw
Microsoft Certified Master: SQL Server, MVP, M.Sc (Comp Sci)
SQL In The Wild: Discussions on DB performance with occasional diversions into recoverability