There really is no conversion process necessary. Simply make a back-up (or use the attach / detach) and then import to new SQL 2005. You can run both SQL 2000 and Yukon together. However - note that Yukon does automatically upgrade SQL 2000 (if I remember correctly - there were no choices given).....
So do a back-up
Install Yukon
Restore backups
And you should be good to go - just remember to turn on remote connections for Yukon after install else you will get SQL remote connection errors.