Using CLR Integration in SQL Server 2005http://msdn.microsoft.com/sql/default.aspx?pull=/library/en-us/dnsql90/html/sqlclrguidance.asp

An interesting video at MSDN TV about SQL Server 2005/Yukon + Visual studio
http://msdn.microsoft.com/msdntv/episode.aspx?xml=episodes/en/20041104SQLServerML/manifest.xml