that's a lot to do . First of all, I would start with a good backup of the ePO database via a maintenance plan. Before you export anything though, I would check, that the database size is not too big, otherwise it takes ages to export the database. Though, if your VM is running on storage based on SSD's, it might not take that long
Before you upgrade the ePO server to 4.6.x or the SQL server to 2008 R2, I would suggest you to first port your ePO environment to your new 2008 R2 SP1 server. Afterwards I would upgrade SQL and finally the ePO server, though you could also first upgrade your ePO server and finally SQL.
The database backup is one thing, the export of Policies is another thing (that can be done via Export, when you choose Policy Catalog). I don't know how to export Tasks and Distributed Repositories or what is included in the SQL database after a restore.
The new 2008 R2 SP1 server can first be installed, then you install ePO 4.5.5 on this system (with the old SQL 2005), then you restore your exported ePO database and check what's left and how to migrate the other settings. Do this in a new VM that's 'Host only' and not connected to your production environment.
This of course is just a brief description, how you could start.
Maybe someone else has more experience and does know, what else must be exported beside the ePO database and Policies, if necessary, to finally have all tasks and repositories and stuff available in the target system.