In SQL Server 2000, you have the \"All Tasks... - Export Data\" option. Where is this option the SQL Server 2005 Management Studio?
Or, is there a SQL Server 2005 way
You could use the excellent SQL Server Database Publishing Wizard.
http://www.microsoft.com/downloads/details.aspx?familyid=56E5B1C5-BF17-42E0-A410-371A838E570A&displaylang=en
It allows you to generate a script which contains data, schema, or both. The script can be targeted towards SQL 2000 or SQL 2005.
Some use it for web hosting environments. I use it to move data when I have no other option.
There is always the BCP option.
DTS has been replaced by SSIS on the business intelligence end of things.
Probably easiest to just do a backup in SQL 2000 and then import the backup into SQL 2005 using the restore. Those options are available in the Express Edition.
If you're using the express edition of management studio the Import and Export features aren't available.