Visual Studio 2005 Debug by attaching to process on Win 2003 Server
Here is how to debug by Attaching to a process... in Visual Studio 2005 on Windows Server 2003.
First go to Debug > Attach to Process..
Then the process that you need to attach to is w3wp.exe. I was used to attaching to the aspnet_wp.exe process, but that isn't the case on Windows Server 2003.

One thing I noticed is when I simply did this when ever there was a connection being made to the database I would encounter a
EXECUTE permission denied on object 'sp_sdidebug', database 'master', owner 'dbo'.
exception. To get around this I had to make sure when in the "Attach to Process" dialog that the Attach to: attribute is "Managed". You can change this by clicking on the Select button next to it and choosing it.

I can now finally attach to a process when debugging on Windows 2003.