McAfee support article KB52109 should cover you.
You'll need to install a separate instance of Sql2005 Express outside of ePO then point ePO at it during the ePO 4.5 installation process.
The article says ePO 4.0, not ePO 4.5 but thesteps for Sql2005 Express should be the same.
I have a follow up question that might be silly, but if SQL 2000 was only used on the server for ePO should I leave it there after the 2005 express install or is it upgraded or should it be uninstalled or does not matter?
After the upgrade to ePO 4.5 it won't matter, ePO will no longer be using that instance of sql2000 so you should be able to do with it as you wish.