For the Certification process for SQL Server 2005, your first step to pass one exam to get you the MCTS: SQL Server 2005.
For Classroom training, you will need 2 courses:
Course 2779: Implementing a Microsoft SQL Server 2005 Database
Course 2780: Maintaining a Microsoft SQL Server 2005 Database
The exam you need to pass is:
Exam 70–431: TS: Microsoft SQL Server 2005 - Implementation and Maintenance
There is a handy breakdown located here:
MCTS: SQL Server 2005 Certification Requirements
After you gain your MCTS: SQL Server 2005 you will most likely want to attain the next level of Certification, which is the MCITP "rank". For SQL Server there are two tracks. One for SQL Server 2005 DBA skills, and one for SQL Server 2005 Developer skills. Each track has a requirement of a total of 3 exams.
Note that the Exam 70–431: TS: Microsoft SQL Server 2005 - Implementation and Maintenance is a prerequisite for both tracks, meaning that you are 1/3 on your way to MCITP certification by passing the 70-431 exam.
See the links below for more details about each track:
MCITP: Database Administrator
MCITP: Database Developer Certification
I would be more than happy to discuss the whole certification process in more detail, and can make (legal) recommendations about self-study or other materials that will help you with the foundation of knowledge you will need to master the topics covered for the exams.
Best of luck with your studies and keep us posted on your progress.
MCITP: DBA, MCSE, MCTS: SQL 2005, OCP