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Make sure you are on patch 5.0.5
1) Make sure you have WinRAR. If you don't have it, head to http://www.rarlab.com
2) Download the update
3) Open the fmfinlandupdate.rar with WinRAR (or just doubleclick the file from the folder you downloaded it to)
4) Select all the files and select extract
5) Find your FM2005 installation folder (default is cProgram Files\Sports Interactive\Football Manager 2005)
6) Extract it to Football Manager 2005\data -directory (so eg. cProgram Files\Sports Interactive\Football Manager 2005\data)
Start a new game and enjoy =)