This is a very broad topic. SQL Skills maintains a whitepaper listing:
SQL Server Whitepapers
The following would be of interest to you in the 2005 section:
SQL Server 2005 Security Best Practices - Operational and Administrative Tasks (written by Bob Beauchemin of SQLskills.com)
SQL Server 2005 Security Overview for Database Administrators
K. Brian Kelley
@kbriankelley