You can’t. SQL Server 2005 will need to be installed somewhere so that you can attach the database to the SQL Server instance.
What is necessary to load sql server 2005 on client computer when i am install my application setup with .mdf database file on client computer?
They will need to purchase a license for SQL Server and install it on a computer. If the database is small enough they can download the express edition of SQL Server which is free. You might want to look at a newer version of SQL Server than SQL Server 2005 as that is 6 years old and there have been two major releases since then with another coming later this year (2011) or early next year (2012).