DTS is deprecated and is not included or supported in SQL Server 2005.
Instead, use SSIS (SQL Server Integration Services) packages, which can be created SQL Server Business Intelligence Development Studio. The Business Intelligence Development Studio should be installed as part of your SQL Server 2005 install.
If it's not practically useful, then it's practically useless.
To create a new DTS Package in 2005, I simply edit an existing one, and save it with a different name, and viola, new DTS Package to change/edit, works like a charm.
I'm in SSIS denial mode. I migrated a DTS package to SSIS and all it seemed to do is wrap it in a pretty wrapper, more layers deep than already the too many layers deep (ie ActiveX script in Workflow task).
"DTS Designer for SQL 2000", takes about a minute to install, and look under legacy tab, you need to bring over your packages though, just save them as Structured Storage files .DTS, and open them on the 2005 server, and save to SQL Server.