In order to have both SQL Server 2000 and SQL Server 2005 installed at the same time one will be a named instance and the other the default instance (or both are named instances but with different names).
In order to connect to the named instance you need to put the instance name in the connection string.
Default Instance = ServerName
Named Instance = ServerName\InstanceName
If you have SQL 2000 installed, then installed SQL 2005 but did not give it an instance name than the SQL Server will have been upgraded and you will no longer have SQL 2000 installed.