Sql Server Setup and Upgrade on a standalone box
Setup a SQL 2005 Standalone Machine
I would strongly recommend that you start by reading about the pre-requisites of installing SQL 2005.
https://msdn2.microsoft.com/en-us/library/ms143719.aspx
If you want to install SQL 2005 side-by-side with SQL 2000 or 7.0, you need to be aware of some special considerations. Refer to this article.
https://msdn2.microsoft.com/en-us/library/ms143694.aspx
After ensuring the pre-requisites are met, you should follow the steps mentioned in this article to install a SQL 2005 standalone instance on your machine.
https://msdn2.microsoft.com/en-us/library/ms143219.aspx
If you prefer to install SQL 2005 from command-prompt, you can do that too by following the steps highlighted in this article.
https://msdn2.microsoft.com/en-us/library/ms144259.aspx
Upgrade to a SQL 2005 Standalone instance from SQL 2000 and 7.0
The first step is to check if the upgrade from you existing SQL 2000 edition is supported. You can review the Version and Edition Upgrade Paths Matrix to learn more about it.https://msdn2.microsoft.com/en-us/library/ms143393(SQL.90).aspx
After you have confirmed that a direct upgrade path exists for your edition of SQL Server, you should do a sanity check by running the upgrade advisor. Some old features in SQL 2005 have either been deprecated or removed. To find out if you are using any feature that has been deprecated or removed in SQL 2005, run Upgrade Advisor tool against your SQL 2000 databases. This tool will give you a list of things to correct pre, during and post upgrade process in your database. I would strongly encourage you to run this tool in advance of your upgrade planning.
https://msdn2.microsoft.com/en-us/library/ms144256(SQL.90).aspx
After having confirmed that there are no upgrade blocking issues for your database, you should read more about some of the known issues with upgrade of each component of SQL Server and how to avoid them by visiting this link:
https://msdn2.microsoft.com/en-us/library/ms143710(SQL.90).aspx
Once the ground work is complete, you can upgrade your existing standalone instance in-place by following the steps highlighted in this article.
https://msdn2.microsoft.com/en-us/library/ms144267.aspx
Make sure that you follow the steps in the above upgrade article in the section titled Next Steps. This section talks about updating the statistics after upgrade and also about using DBCC UPDATEUSAGE. These steps are important from performance point of view.
Post Setup and Upgrade Activities
Once the setup is complete, it is important to verify that the SQL Server is configured and setup right. You can verify that by using the SQL Server setup logs. However, these logs are verbose and you need to know what you are looking for. To learn how to sniff the right information from these logs, refer to this aticle.
https://msdn2.microsoft.com/en-us/library/ms143702.aspx
Known Issues:
List of known issues when you install SQL Server 2005 on Windows Server 2008 https://support.microsoft.com/?id=936302
List of known issues when you install SQL Server on Windows 7 or on Windows Server 2008 R2 https://support.microsoft.com/?id=955725
How to apply a hotfix for SQL Server 2005 or SQL Server 2008 in a transactional replication and database mirroring topology https://support.microsoft.com/kb/977051