UPDATE: I just realized the link that I refer to is not in here. Here it is:
I was informed by my friends Richard Campbell and Steve Forte the other day in Holland at SDC that Northwind will not ship with SQL Server 2005. I was a little bummed, because I have used it for a lot of the samples in my book because I was told by certain contacts at Microsoft that it would ship with 2005, and I wanted to maintain backwards compatibility with folks who have not migrated to SQL Server 2005 yet (I think Whidbey adoption will be much faster in development shops than SQL Server 2005 for licensing reasons).
Well, just in case this is a surprise to you to, and you want to be able to add Northwind to SQL Server 2005 after you install it, here is a link to the sample DBs (Northwind and Pubs) as scripts that should work fine with 2005 as well.