Yes, do detach the databases first. SQL Server 2005 Books Online (BOL) states the following in the Remarks section of the sp_attach_db reference: "The sp_attach_db stored procedure should only be executed on...
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Do you have Analysis Services and MSDE installed on your computer? If not, there's no need to install those two and when you try, you'll get the errors you mentioned.
Hope...
This posting is provided "AS IS" with no warranties, and confers no rights.