Here are the steps that worked (finally) for me:

Login as 'sa' on your local sql 2005 server.
Create a new database
In a new query window, run this script: ALTER DATABASE [DatabaseNameHere] SET ENABLE_BROKER (should return: Command(s) completed successfully.)
Copy and paste script from 'Intro...to Service Broker' article into a new query window.
Make sure you're in the newly created database and comment out 'USE AdentureWorks' line at the top.
Add this snippet (from a previous post) ... WITH ENCRYPTION=OFF, LIFETIME= 600; to the end of line #37. (the section that starts with BEGIN DIALOG @conversationHandle ....ON CONTRACT HelloContract [here])
Run entire script on your newly created database and it should return the 'Hello world' message.
If not, do a select * from sys.transmission_queue to see what errors were generated.

Hope that helps....

ALTER DATABASE AdventureWorks SET ENABLE_BROKER

-- We will use adventure works as the sample database
USE AdventureWorks
GO
-- First, we need to create a message type. Note that our message type is
-- very simple and allowed any type of content
CREATE MESSAGE TYPE HelloMessage
VALIDATION = NONE
GO
-- Once the message type has been created, we need to create a contract
-- that specifies who can send what types of messages
CREATE CONTRACT HelloContract
(HelloMessage SENT BY INITIATOR)
GO
-- The communication is between two endpoints. Thus, we need two queues to
-- hold messages
CREATE QUEUE SenderQueue

CREATE QUEUE ReceiverQueue
GO
-- Create the required services and bind them to be above created queues
CREATE SERVICE Sender
ON QUEUE SenderQueue

CREATE SERVICE Receiver
ON QUEUE ReceiverQueue (HelloContract)
GO
-- At this point, we can begin the conversation between the two services by
-- sending messages
DECLARE @conversationHandle UNIQUEIDENTIFIER
DECLARE @message NVARCHAR(100)

BEGIN
BEGIN TRANSACTION;
BEGIN DIALOG @conversationHandle
FROM SERVICE Sender
TO SERVICE 'Receiver'
ON CONTRACT HelloContract
WITH ENCRYPTION=OFF, LIFETIME= 600;
-- Send a message on the conversation
SET @message = N'Hello, World';
SEND ON CONVERSATION @conversationHandle
MESSAGE TYPE HelloMessage (@message)
COMMIT TRANSACTION
END
GO
-- Receive a message from the queue
RECEIVE CONVERT(NVARCHAR(max), message_body) AS message
FROM ReceiverQueue;
-- Cleanup
DROP SERVICE Sender
DROP SERVICE Receiver
DROP QUEUE SenderQueue
DROP QUEUE ReceiverQueue
DROP CONTRACT HelloContract
DROP MESSAGE TYPE HelloMessage
GO

Here are the steps that worked (finally) for me:

Login as 'sa' on your local sql 2005 server.
Create a new database
In a new query window, run this script: ALTER DATABASE [DatabaseNameHere] SET ENABLE_BROKER (should return: Command(s) completed successfully.)
Copy and paste script from 'Intro...to Service Broker' article into a new query window.
Make sure you're in the newly created database and comment out 'USE AdentureWorks' line at the top.
Add this snippet (from a previous post) ... WITH ENCRYPTION=OFF, LIFETIME= 600; to the end of line #37. (the section that starts with BEGIN DIALOG @conversationHandle ....ON CONTRACT HelloContract [here])
Run entire script on your newly created database and it should return the 'Hello world' message.
If not, do a select * from sys.transmission_queue to see what errors were generated.

Hope that helps....