and the event log on the SharePoint server gave us this nice error message:
Event ID: 10036
Description: A database error occured.
Source: Microsoft OLE DB Provider for SQl Server
Code: 6610 occured 1 (times)
Description: Failed to load msxmlsql.dll
After "googling around", checking logs, reinstalling SharePoint, applying service pack 3 to the SQL 2005 Server (it installed the missing dll by the way) we gave up. Even if we provided the sql server with the missing dll it would not work. We were able to recreate the error on a different machine (and even fix it), but not to fix it on the production server.
Conclusion: Build a new SQL Server 2008 from scratch and move and upgrade the database.
1 1/2 day gone! :-(