<p>I would like to set up a localhost server to test my site on in sql server 2005. I just installed sql server 2005 and I have never set up a database in this before. There is a login screen and I tried everything and it will not let me log into anything. What are the steps I need to do to get this to work. Thanks</p>

Assumptions:
sql2005 is installed on your localhost
u can connect to it via Query analyzer or Sql Server Management Studio?
when the login prompt starts up, u have two options for authentication ->  Windows authentication or Sql Server Authentication.
If those assumptions are all correct, then try connecting via the Windows Authentication option. If that fails, then try the Sql Server Authentation and use the username 'sa' (no quotes), password leave empty.
does that work? also, post some links to screenshots so we can see exactly what you see, to help you further.