I am upgrading from SQL Server 2000 sp4 to SQL Server 2005 and use BES 4.1.6.12 in a Domino 7.0.2 environment
Do I just shut down BES and upgrade SQL and then start the BES server?
Are there any other steps involved?

Have you searched?

Let me know if this does not answer your question
SQL 2000 to 2005 upgrade
AND
Bes 4.1.25 upgrade from SQL2000 to SQL2005

And remember the knottyrope mantra "backup backup backup" (the db that is, just before doing the work).

The db is the entire system so get a good backup, just before you start doing things.