You have two options, both explained in books on line.
1) UPGRADE the server. This will upgrade your server from 2000 to 2005. It is a one way move and the whole server is changed. There is no rollback for this.

2) MIGRATE the database. This is a lot more difficult as the DBA (er.. you?) has to a) set up a new server (or server instance), b) make sure that all of the relevant logins / users etc are on the new server, c) copy (through SQL or DTS or SSIS or BCP) the data into a new DB and new tables (use Generate SQL Script for this) and then make sure that all stored procedures, triggers, functions and user data types are transfered as well.

The advantage of option 2 is that you can continue to use your original DB and apps while you set everything up and then you have a fall back position (the original DB).

Given the choice I use option 2.

Tk's very much , pclfw!
I will keep U posted with my evolution.It seems harder , the 2-nd option, but I'll start with this one.
See U.

Hi!
I found that I can use :
Microsoft SQL Server 2005 Upgrade Advisor
so , with this, I can identify any problems during the upgrade.
I appreciate your feedback.
Tks.