Login to your MSDN Subscribers area. Go to downloads. Expand the tree to:Developer Tools->Visual Studio 2005->English->Visual Studio 2005 Team Foundation Server Workgroup Edition (English)
Now, to keep the download size somewhat manageable, you will also need to download SQL Server 2005 Standard Edition (also on MSDN). The actual media for TFS should include this install.
Yep, we actually do consider database developers first-class citizens in the SDLC!