You can have VS2005 automatically download the 'OS' symbols as you need them. In Tools>Options, there is a Debugging section. The last sub-section is 'Symbols'.

Add an entry in the list of "Symbol file (.pdb) locations:"http://msdl.microsoft.com/download/symbols

The "Cache symbols from symbol servers to this directory" should be used wherever you have room for it. Normally (when you install the OS symbol packs) they are installed under c:\windows\symbols.