In our test environment, we install multiple instances of SQL Server 2005 on the same box.  If you are having trouble remotely connecting to your non-default instances, be sure to do the following:

1.  Make sure the TCP/IP protocol is enabled for your instance.  Use the SQL Server Configuration Manager (a SQL 2005 client tool) to do this.

2.  While you are using this tool, make note of dynamic TCP port that your instance is using.  SQL Server instances communicate on a single port.  The default port is 1433, which is what you get for the default instance, but for additional instances, a dynamic port is randomly selected for you at install.

3.  When remotely connecting to a SQL Server 2005 instance that is not the default instance, use the server name and port number.  For example, to connect to SERVER1\Instance5, enter "SERVER1\Instance5,<nnnn>", where <nnnn> is the dynamic port number of the specified instance.