Which edtion of SQL 2005 are you running? Which tool are you using (or which do you prefer)?
The dump file is a backup format used by older versions of SQL Server (version 7.0 and earlier). Do you know what version of SQL Server your client is using, since that could make a difference in the restore process. You can work through the process if you don't know, the knowledge would just save us time explaining the process to restore it.
You can check the RESTORE topic in BOL (SQL Server Books Online) for detailed documenation on the restore process. Be sure to check the appropriate sidebars for details about restoring backups from older versions of SQL Server.
I'd just use your SQL 2005 server for about 98% of the tasks needed. Simple analysis, data cleansing, writing new code, etc would be faster and easier using the 2005 database engine in 2000 compatibility mode, but beware that you'll have to script any changes to return them to the customer because you can't restore a backup from a 2005 server onto a 2000 server. There are a few obvious exceptions to this rule like performance management issues because those are so dependant on SQL Server engine that the 2000 engine and the 2005 engine behave too differently for a good comparison.