You cant do it... Didnt realize this since I wouldnt normally do that (for performace reasons). But I was attaching an MDF that happened to be in my temp folder, which is compressed, and got the error. I didnt quite get it at first since I didnt realize this was not possible in 2005 and because I forgot that folder was compressed... :P You can however do this if the file is in a readonly file group or if you are attaching a readonly database.

The file "D:\temp\test.mdf" is compressed but does not reside in a read-only database or filegroup. The file must be decompressed.
CREATE DATABASE failed. Some file names listed could not be created. Check related errors. (Microsoft SQL Server, Error: 5118)