The sp_msx_enlist stored procedure adds the current server to the list of target servers available for multiserver operations. Only a SQL Server 2005 server can be enlisted against another SQL Server 2005 server.
That means that you cannot have a configuration with a SQL Server 2005 instance acting as a master server (MSX) and a SQL Server 2000 as a target server (TSX).
If you try to enlist a SQL Server 2000 instance into a SQL Server 2005 master server, you will receive an error like this:
The master server '<SRV_2005>' version 9.00.2047.00 is not compatible with the target server '<SRV_2000>' versions 8.00.2039.
(By the way, there is something wrong with this sentence, isn't it? I mean the word 'versions'.)