Some people have had problems installing PT2005 on CX5. Here's what I did to have it work:
Click on install unsupported app. Browse inside the CD and select setup.exe, not the autorun. The autorun will make it not work for reasons that I don't understand. That's also why you cant just point it to the cd, but must select the setup.exe file manually.
Then it'll ask for a bottle. I picked an existing bottle (win98, the default one created) which already had IE6 installed.
At the very end of the installation, there is a runtime error, but don't worry. It'll still work.