SQL Server 2005 does not install sample databases by default due to security reasons.I have received many questions regarding where is sample database in SQL Server 2005. One can install it afterwards. AdventureWorks and AdvetureWorksDS are the new sample databases for SQL Server 2005, they can be download from here.
After installing sample databases the second most asked question is WHERE IS NORTHWIND?
Northwind database was the best sample database for SQL Server 2000. Since I started to work with AdventureWorks of SQL Server 2005, I like AdventureWorks as much as Northwind. Northwind is not the best database due to few new features of analysis and reporting service of SQL Server 2005. MSDN Book On Line (BOL) uses the AdventureWorks in all of their example and it makes it easy to follow up if proper understanding of AdventureWorks schema is developed. However, SQL Server Compact Edition uses Northwind as sample database.
If you still want to download and install Northwind and Pubs in SQL Server 2005, download them from here.
My recommendation : Start getting familiar with AdventureWorks.
UPDATE: SQL SERVER – 2005 NorthWind Database or AdventureWorks Database – Samples Databases – Part 2 explains how to restored NorthWind to SQL Server 2000 using images.
Reference : Pinal Dave (http://blog.SQLAuthority.com)