That was indeed a part of the problem. I had to create an empty database, rename the _data and _log files appropriately, and then select them using Restore As, making sure to Overwrite the empty files.

The other part of the problem is that the data probably does NOT belong in SharePoint\data in the first place. I knew I didn't know anything about differences in SQL 2005 but thought the IT people did. Since they only gave me rights to Sharepoint, I restored the data there--just like they had tried to do before me! From what I've read on MSDN though, it looks like the data belongs in MSSQL.1\MSSQL\data.