We too have an AS/400 and SQL 2005 environment.
You have two options, depending on what version of SQL Server 2005 you have.
SQL Server 2005 Standard Edition:
2 step connection process ...
We access our AS/400 data through a combination of a DSN that uses the IBM iSeries Access for Windows ODBC drivers, then we access the DSN that uses the Provider: Microsoft OLE DB Provider for ODBC Drivers, which gives us access to the iSeries with OPENQUERY.
SQL Server 2005 Enterprise/Developer Edition
1 step connection process ...
There is a more efficient Microsoft provided driver for use with DB2 databases. (I have read reports of the data flowing upto 75% faster.)
Provider: Microsoft OLE DB Provider for DB2
The driver is part of the Feature Pack for SQL Server 2005. It needs to be downloaded and installed from Microsoft:
Feature Pack for Microsoft SQL Server 2005 - February 2007
Scroll down the list for:
Microsoft OLEDB Provider for DB2
Package (DB2OLEDB.exe) - 8276 KB
This Microsoft KB article may be of use as well, it seems that documentation for communicating between MS and IBM is scarce:
INF: Configuring Data Sources for the Microsoft OLE DB Provider for DB2
Once you get everything configured with the proper drivers and/or DSN entries, you should then be able to use ADO connections.
Let me know if you need more details or would like my notes on how we have things configured.
MCITP: DBA, MCSE, MCTS: SQL 2005, OCP