I have successfully installed Self Service Portal, Report Manager and Dashboard Manager on SQL 2005.
You must use a version that will work with SQL 2005. -Report Manager 4.56 -Self Service Portal 4.1.3 -Dashboard Manager 4.04 Note: this is not the official release of DM for SQL 2005, but it will work if configured correctly.
Please let me know what walls you are running into and maybe I can get you pointed in the right direction.
You need to be on Westbury 4.1.3 and there are some special instructions for SQL2005 that included in the upgrade that you need to follow. If you can't find them let me know. Just went through this 3 weeks ago