You may need to check out the instcat.sql
Is your SQL Server 2000 instance running SP4?
If not, in order for Distributed queries in SQL Server 2005 to work against SQL Server 2000, you need to run the instcat.sql script that is supplied as part of SP4 on your SQL Server 2000 instance.
If you are not running SP4 on sql server 2000, you should upgrade it.