You can't, for that you need windows operating system or you can use MYSQL or other linux based databases.
And then if you have any MSSQL databases you will need to download a converter to make them compatible with MySQL on linux.
The one way I can think of is to install virtual servers inside linux and install Windows into one of the virtual server and then MS SQL 2005.
^^ That would be unnecessary strain on the server, better dump the linux if using MSSQL is priority for you.
Not necessarly, it all depends on what you want to do. I worked at Oracle for a few years and we ran linux as a base OS then VMware then multiple Windows and Linux instances.
I myself have a machine with Windows NT 4.0, Windows 2000 and Windows 2003 running as virtual servers. No problem at all had been in the datacenter for more than a year with not a single issue.
Go for windows operating system. MYSQL will work great with windows. Its a headache to install it in linux.