Can't create linked server SQL Server 2005
As one colleague pointed out, there's no SQL Server 2003 version. I suppose you're speaking about MSSQL 2000. Which was somehow related in time with VS 2003 :-).

As you're working with instances on the same server, do you have the service "SQL Server Browser" started and running?

Why you need it:

"The SQL Server Browser program runs as a Windows service. SQL Server Browser listens for incoming requests for Microsoft SQL Server resources and provides information about SQL Server instances installed on the computer. SQL Server Browser contributes to the following actions:

Browsing a list of available servers
Connecting to the correct server instance
Connecting to dedicated administrator connection (DAC) endpoints


"