There is a patch available from HP for HPSD for the SQL 2000 to SQL 2005 upgrade. We used it last year and had no problems, but we moved the database from the SQL 2000 boc to the SQL2005 box...ie we dind't upgrade on the same database server. Just ask HP support for the patch. I would rather separate the two upgrades just in case though - ie do the upgrade to SP25 first, then upgrade to SQL 2005.
We found everything in HPSD under SQL2000 worked fine in SLQ2005 - all data etc supported.