You can create this linked server just as you would any other linked server. For the server name simply specify SERVERNAME\INSTANCENAME. As the SQL 2005 instance is on the same server you can setup the connection to map the domain users to them selves. If you need SQL Accounts to have access to the SQL 2005 instance you will need to set it up for mixed authentication so that you can map the SQL accounts on the SQL 2000 server to SQL accounts on the SQL 2005 server.
I personally just tried it and it worked perfectly. I was trying to go the other way using SQL 2005 access SQL Server 2000 database, however this works and I get the job done.