Yes you can. In SQL 2005 you will want to store the files within a column of the type VARBINARY(MAX). This will allow for up to 2 Gigs of data per record within that field.
However it is recommend that you not store files within the SQL Table. Instead store the file outside of the database, and store only the path to the file within the database. Using this method will greatly increase your system performance over storing the data within the database.