SQL Server 2005 is installed without any samples - at least versions I installed don’t contain Northwind and pubs databases -. However Microsoft put SQL Server 2005 Samples and Sample Databases in Codeplex, light version of these two sample databases were always famous in a way that you can find one of them in most database related samples with high probability.  You can find SQL Server 2000 Sample here. After installation file is downloaded take following two steps:

1. Install msi file. Some files will be copied in C:\SQL Server 2000 Sample Databases 2. Attach Northwind.mdf file which is located in C:\SQL Server 2000 Sample Databases. Repeat this step for pubs mdf file.