Glad you got it working. Just keep in mind two things about mirroring from a 2005 principal to a 2008 mirror:

1) You can't do snapshots

2) If for some reason your principal dies and you fail over to the 2008 mirror instance and make that the principal, you've just upgraded your database to SQL 2008 and can't restore it to SQL 2005 ever again. (OK, I suppose if you really wanted to you could manually extract all the data, or use one of the data transfer wizards, but it probably wouldn't be fun if your DB is very big).