Sure you can. Just open Enterprise Manager and locate your SQL 2000 instance-> go to Security->Linked Servers->Add Linked Server->Choose Server Type as SQL Server->switch to Security tab and configure proper security information to login to the SQL2005.
For more information about Configuring Linked Server in SQL2000, please refer to:
http://msdn.microsoft.com/library/default.asp?url=/library/en-us/adminsql/ad_1_server_4uuq.asp
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