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I'm using SQL Server 2005. Do I need to get Enterprise Manager to administer the app through a hosted server? What do I need if not EM?
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You normally manage SQL Server 2005 through the SQL Server Management Studio (SSMS). You can find that on the SQL Server 2005 installation CD, just pick the client components and tools when you install. You can also use the "free" version of SSMS which is used for SQL Server Express, although it has less functionality.

For a remote server, especially one in a datacenter where they don't open many ports, you might find that asking them to open a port just to your machine for a Remote Desktop to be preferrable. You can also use the command line tool (sqlcmd) or even PowerShell to manage your system.
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