You've installed SSRS 2005, and you're sure that you chose to include the sample files...yet you don't see them on your file system...Where are they?

There's one more step you need to take care of...browse to C:\Program Files\Microsoft SQL Server\90\Tools\Samples and you'll see SqlServerSamples.msi - run this puppy

When complete, you'll find everything you need in C:\Program Files\Microsoft SQL Server\90\Samples\Reporting Services