Gail is right about the installer for SQL Server 2005 not attaching the sample database. This information is also on the download page I included :

"These installers require you to manually attach the database after installation. See the Release Notes for details."

The release notes on that page also give you step-by-step information about how to attach the database.

if you install the sample database files to the C:\Program Files\Microsoft SQL Server\MSSQL.\MSSQL\Data\ path, then you can attach the sample database with:

exec sp_attach_db @dbname = N'AdventureWorks',

@filename1 = N'C:\Program Files\Microsoft SQL Server\MSSQL.\MSSQL\Data\AdventureWorks_Data.mdf',

@filename2 = N'C:\Program Files\Microsoft SQL Server\MSSQL.1\MSSQL\Data\AdventureWorks_log.ldf'

it is nice to see that for SQL Server 2008 the installer will take care of the above.

Regards,

Andras