You will not be able to run some of the unit tests if you do not have the Northwind database installed. Some of the unit tests included with Enterprise Library require that the Northwind database be present in the SQL Server instance named .\sqlexpress. The Northwind database does not ship with SQL Server 2005. If you want to run the unit tests that use this database, you can download the scripts to create Northwind from Northwind and pubs Sample Databases for SQL Server 2000.
The scripts that create the databases used by the unit tests (such as CreateCachingDb.cmd and CreateLoggingDb.cmd) all assume that you have a local SQL Server with an instance name of SQLEXPRESS.
Other unit tests may have additional dependencies on services such as Message Queuing or Authorization Manager.