The Channel9 Wiki has some great screen casts demonstrating how to accomplish a lot of the tasks with the SQL 2005 BI tools. It doesn't however explain conceptually to well what a DW is and why it makes sense. For that I would recommend turning to the Kimball group.

http://channel9.msdn.com/wiki/default.aspx/Channel9.SQLServer

Hope this helps!

Cheers,

Ben