I would like to make you aware of an issue I have experienced which also seems to be a problem with many other SQL Server 2005 users as well.
I installed SQL Server 2005 on two different Servers using the same installation files as well as the same installation configuration.
When opening the Database Tuning Advisor on both machines, I found that it connected successfully on one of them but failed to connect on the other as it could not find a require Stored Procedure.
Upon further investigation, I found that this SQL Server did not have any DTA Tables nor Stored Procedures.
For full details as well as the resolution to this problem, please refer to KBA34616.