You have a two way of upgrade Side-by-Side Upgrade or In-Place Upgrade.

First you should run the Upgrade Advisor http://www.microsoft.com/en-us/download/details.aspx?id=11455

Then you should read this

http://download.microsoft.com/download/5/3/D/53D72434-7BD5-41C6-A806-8212C1B0DCA1/SQL%20Server%202005%20to%202008%20Upgrade%20White%20Paper.docx