Are there multiple instances of SQL2005 installed on the box? (ie are you looking at the correct SQL Agent service?)

Open SQL Configuration Manager and check it there.

What's changed recently on the box? Patch? Failed SQL installation/upgrade? SQL express installed?

Who else has access to the machine? Check Windows application and system logs for changes. When did the error start occuring? Go back in the Windows Security log to see who logged in at that time.

If it has been moved or deleted, I wouldn't trust anything on the box and would reinstall SQL rather than try repair it.