Open SQL Server 2005 Management Studio,
In the object explorer pane, right click on the server (it's the root),
Select Properties. The Server Properties Dialog appears.
Under "Select a page", select "Security".
Under "Server authentication", in the right portion of the dialog, make sure the item "SQL Server and Windows authentication mode"is selected.

SQL Server 2005 Express appears to be the same, when using Management Studio.

--m