There's nothing you can really do to protect the server against the admins of that server. They have full control over the servers and possibly even the domain. Stealing your data file is the least of the damage they could do.
In SQL 2005 and 2008 you can encrypt part or all of the database, but even that may not be a complete defence against the server admins who may be able to get hold of encryption keys.
Do you have anything solid behind your suspicions? If so, take it to your information security people, or to management.
Basically, it comes down to this. If you don't trust them, why do they still have admin privileges?
Microsoft Certified Master: SQL Server, MVP, M.Sc (Comp Sci)SQL In The Wild
: Discussions on DB performance with occasional diversions into recoverability
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