RESOLUTION
There are two possible ways:1. Update from previous MSSQL versions such as MSSQL 2000 or MSDE.
First variant does not need any additional settings as MSSQL is already configured in Plesk.
2. Standalone Microsoft SQL Server 2005 installation.
In case MSSQL 2005 is installed using the second choice then you have to enable TCP/IP protocol on MSSQL server.
You can do it through : Start, All Programs, Microsoft SQL Server 2005, Configuration Tools, SQL Server Configration Manager, SQL Server 2005 Network Configuration, Protocols for MSSQLSERVER
Once it's enabled it's necessary to login to Plesk and register newly installed MSSQL server on Server, Databases page.
Keywords: Microsoft SQL Server 2005 installation