Hi
Within the Page Setup Dialog Box is the following Tick Box checked -
Plot Device Tab -> "Display Plot Styles" within the Plot Style Table (Pen Assignments) area
If yes, that is the cause of the problem.
If no, get back to us and I'll have another guess.
With the above I've assumed the Page Setup Dialog Box in AutoCAD 2005 is the same as AutoCAD 2002 (haven't got AutoCAD 2005 in front of me until I get home).
Have a good one, Mike