Assuming we're talking about the SQL server that's hosting the ePO database, then yes, absolutely - make sure that all three ePO services are stopped, as well as the services for any agent handlers if you have them. Back up the db before doing anything else
just to make sure: you were referring to a database upgrade and not an ePO upgrade?
I need to do something like that: to upgrade an ePO 4.0 SQL 2000 database before migrating the database to a remote SQL farm (keeping the same ePO version).
Correct - an SQL upgrade. You want to make sure that ePO is not trying to access its DB while SQL is being upgraded around it.
Make sure you check the supported versions though - ePO 4.0 is not supported with SQL2008, for example.