If you do not have SQL Management Studio, download a free express edition here http://www.microsoft.com/downloads/details.aspx?FamilyID=c243a5ae-4bd1-4e3d-94b8-5a0f62bf7796&displaylang=en

The process is straightforward, and consists of following steps:

1)      Connect to your MSSQL2000 server using SQL Management Studio, right-click on your database. In the menu select Tasks>Back up.

2)      In the backup interface specify the path and name of the database backup file in the “destination” section, select “full” backup type, and let it rip. When you are done there should ba a *.bak file in the location you have entered.

3)      Connect to your SQL2005 Express Server using the same SQL Management Studio, right click on the “Databases” node in tree menu.

4)      Type in the name of the database you want to create from the backup, select source “From device” and then navigate to the backup file you have created earlier.

5)      Once you have confirmed you have everything set correctly, click OK. This should take care of your transfer process.

If you are overwriting an existing database with your backup, there are several other options you need to toggle.