Your overall steps for migrating the database from a SQL Server 2000 to SQL Server 2005 are correct. Just remember to also stop the IIS with the OutSystems services, and you should also migrate the ASPState data model, or create a new one on the new SQL Server 2005.
While doing the database migration, I would recommend that after the attach of the database on the SQL Server 2005, you should also set the Compatibility Mode to 90, to take advantage of the SQL Server 2005 database engine optimizations. For more information about this subject, check out the topics Upgrading from SQL Server 2000 to 2005 and Tip: Use of *= and =* are not supported in SQL 2005 compatibility 90 databases.
After having the OutSystems Platform 4.1 using the SQL Server 2005, you can just proceed with the release upgrade to the Agile Platform 4.2. The best guide for upgrading your environment is the Platform Server 4.2 - .NET Install Checklist document. This is a dynamic html document, where you can choose your installation profile and get the proper steps to execute.
In your case, choose:
Follow the presented steps in the pre-requirements, installation and post-installation sections. after that.
Since you're upgrading from 4.1 to 4.2, many of the steps are actual validations, since they are already implemented. But check every one of them, to guarantee that nothing is missing.
Finally, before proceeding with the upgrade, also checkout the documents What's New in Agile Platform version 4.2 and Side Effects and Breaking Changes in Version 4.2.
Hope this information is helpful.
Miguel Simões João