I think you assume that when MS Visio 2008 will be installed , the sql server 2005 also get installed with the same set up. and in the same mind you are trying to connect database using Visio code.
That is not the condition
1) MS Visio 2008 is separate installer and that contain sql server 2005 componets that need to communicate to sql server.
2) you have to install sql server 2005 from the sql server set up
read below how you can install sql server 2005
http://www.sqlserverclub.com/essentialguides/how-to-install-sql-server-quick-guide.aspx[
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Hope this helps if yes the accept and vote the answer otherwise revert back with your queries
--Rahul D.