In SQL Server 2005, how do I set a column of integers to ensure values are greater than 0?

You can use a check constraint on the column. IIRC the syntax for this looks like:

create table foo (
    [...]
   ,Foobar int not null check (Foobar > 0)
    [...]
)

As the poster below says (thanks Constantin), you should create the check constraint outside the table definition and give it a meaningful name so it is obvious which column it applies to.

alter table foo
  add constraint Foobar_NonNegative
      check (Foobar > 0)

You can get out the text of check constraints from the system data dictionary in sys.check_constraints:

select name
      ,description
  from sys.check_constraints
 where name = 'Foobar_NonNegative'

Create a database constraint:

ALTER TABLE Table1 ADD CONSTRAINT Constraint1 CHECK (YourCol > 0)

You can have pretty sophisticated constraints, too, involving multiple columns. For example:

ALTER TABLE Table1 ADD CONSTRAINT Constraint2 CHECK (StartDate<EndDate OR EndDate IS NULL)