I have pretty much upgraded the default MSDE db instance for Windows SharePoint Services to a full SQL database since I can remember.
On SBS 2K3 RTM and SP1 this was a relatively straight forward upgrade to SQL 2000.
ON SBS 2K3 R2 Premium though, it is not so straight forward to upgrade the instance to a SQL 2005 instance.
There are a number of extra steps that one will need to complete in order to upgrade the database instance.
SmallBizServer.net has the low down on how to accomplish this task. The instructions are chock full of screen shots, so it is very easy to follow.
Microsoft also has its own article on the various types of database instances WSS can run and the upgrade processes for each here. This article also specifies the proper method for the Default install of SQL 2005 Workgroup Edition.
Watch yourself though, any mistakes and it could mean a re-install or recovery!
Microsoft Small Business Specialists