Start MS SQL Server 2005, detach database there before copying, then in MS SQL Server 2008 attach copied mdf file.
Update: You really cannot remove MSSQL Server components completely by uninstall process, especially having attached databases left behind. Besides server components, MSSQL Server setup can install client tools libraries, BIDS (Business Intelligence Development Studio), MDAC, etc.
MS SQL Server database can be used (and locked) not only by MS SQL Server. The lock can be initiated, hold and passed through from many tools.
I can only advise you to iteratively check/clean Windows (for ex., by CCleaner) registry, then manually remove files remaining on hard disk from MSSQLServe2005, then repeat both steps again.
But, my qualified guess is that you screwed it by uninstalling SS2005 before migrating or, at least, detaching database.
Really, I wouldn't advise attaching/detaching even without migrating to another version. What was the necessity to do it?
Also, why do not you copy also LDF file?