Yes you can. In the Mendix Business Server, select File > Export Project To and select "SQL Server 2005 database" there. After that you can select which SQL server to use and what the database name should be.
You have to create the database first, the modeler won't do this.
As Bas states, this is indeed possible using the "Export Project To" option of the File menu. When using this option, you should have an empty database ready on the SQL Server. The Modeler will not create the database itself, and it will not overwrite an already existing project database.
Note that the SQL server user account that you specify should have write permissions on both the schema and the data, as the Modeler itself creates all tables that are needed to store the project in the SQL server database.