what version of 2005 is it?
If you want to write anything using the XNA framework then you should use C# 2005 Express. Personally I prefer C# 2005 Professional as it's what I use every day and it is a little bit more robust than Express, but Express is free so you cant complain

So, in short, if you want to do and development using the XNA framework then you best use C# 2005 Express, if you just want to write MDX stuff without the XNA framework then you can use any C# compiler.