Some of the Security Issues at Sqlserver 2005:
I have connected to another sqlserver2005 (Eg: sysravi\sqlexpress) with my Windows credentials (sysramesh\sqlexpress)(username\instance name) through Windows Authentication. Not with the SQLServer Authentication.
In that server I have tried to create linked server and also tried to Create the Database. And no issue with the Linked server script
But I am getting the error saying that : Msg 15247, Level 16, State 1, Procedure sp_MSaddserver_internal, Line 36
Solution: I made changes in that server (sysravi\sqlexpress) Security ->Login->BUILTIN\Administrators
So in the BUILTIN\Administrators Properties ->Server Roles-> Click on SysAdmin Check Box.
So you will get the privileges of SysAdmin. Now you can able to create the Linked Server as well as Databases.