SQL Express is the default Database when you use Login Component of ASP.Net 2005, for using SQL 2000 as your database, you can add these tags to your project web.config file:

<connectionStrings>
    <add name="MyDB" connectionString="Data Source=servername;Initial Catalog=dbname;User ID=login;Password=password" />
</connectionStrings>

 <system.web>
    <roleManager enabled="true" defaultProvider="CustomizedProvider">
      <providers>
        <add name="CustomizedProvider"
             type="System.Web.Security.SqlRoleProvider"
             connectionStringName="MyDB"
             applicationName="/website"/>
      </providers>
    </roleManager>

    <membership defaultProvider="CustomizedProvider">
      <providers>
        <add name="CustomizedProvider"
             type="System.Web.Security.SqlMembershipProvider"
             connectionStringName="MyDB"
             applicationName="/website"  />
      </providers>
    </membership>

....

</system.web>

Note: don't forget to fill the "applicationName" tag with your application name, empty applicationName may cause some problems.