Do you have a "test" SharePoint Portal Server. No matter where you
develop, you have to test it and that means modifying the web config of
the SPS Server. If you do not have a test server then end users might
end up playing with the dev or you might mess up the production server.
I am lucky to be able to develop on a test server directly. Another good
way is to use Virtual PC if you have access.

I usually have no trouble developing on a test server and then moving to
a production server.

While I have not tried it yet since I have a test server with SPS2003,
you could try to share the test server drive and dev on the
workstations. You would need to reference any dlls of the sps  server via
the share and publish the assembly to the server. I have not done this
yet but I just might try it as I am sure to get to a client who does not
have a test machine setup for dev.

Thanks for your answer. In short term, I think that we will install visual
studio.net on the test machine for transform this machine in a dev/test
server.

If we don't try it, we won't know if this works fine...

I have already tested it from a developer  machine, WIndows 2000. I tested
the "Create a simple web part page" from the Microsoft SDK. By downloading
all dll from the server to local, we can use them except that it seems that
some of them are in the GAC! It's the case for microsoft.sharepoint.library,
microsoft.sharepoint.security and microsoft.sharepoint.dsp. I tried 2 or 3
ways to copy locally or use remotely these dll but failed. These library (or
assembly) are always "not found" when builded.

I think there is no other way to develop sharepoint without installing it...
I didn't find any way to install only dlls...