Yes, you can modify one of the databases without affecting the others. Easiest way to do it is to go to the Options pannel in the Properties of the database and change it there. (You get to that by right-clicking the database in Management Studio.)

HOWEVER, changing the compatibility of a database isn't something to do lightly. If any of the code in the database relies on any of the new features in SQL 2005, it will generally start erroring out. Any CLR procs or functions will stop working. Some Enterprise level features could result in tables that don't function correctly.

It's a big deal. Their support suggesting this without warning you about the consequences is highly inappropriate.

Make a copy of the database in a test environment, change the compatibility level to 80 (from 90), and then test it extremely thoroughly. Put it through all of its paces.

If anything in it doesn't work, talk to their support about it. Ask them when they're planning on upgrading their software to work with a database that's actually in it's primary support cycle. (Mainstream support for SQL 2000 ended in April last year.) Ask them about when they plan to upgrade to ANSI compliant code.