I want to store a map that is drawn using Map info software, then store it into the database, but I have not known about spatial data in sql server
I tried creating a table using geometry data type like:

use master
go
CREATE TABLE Districts 
    (	DistrictId int IDENTITY (1,1),
DistrictName nvarchar(20),
    	DistrictGeo geometry);
GO

but it raised an error:Column, parameter, or variable #3: Cannot find data type geometry.
As far as I know the MS sql server 2005 is also support this data type

GEOMETRY & GEOGRAPHY are new data types to sql 2008, not sql 2005. SQL Server 2008R2 is out and has a free express edition which also raised the DB cap from 4GB to 8GB. I would suggest upgrading or creating columns for each field of geometry.