With SQL Server 2005, when you get the error message:
“Database diagram support objects cannot be installed because this database does not have a valid owner. To continue, first use the Files page of the Database Properties dialog box or the ALTER AUTHORIZATION statement to set the database owner to a valid login, then add the database diagram support objects.”
Even when the database does have a valid owner, then the database compatibility level is probably set to lower than 90, this can happen if you restore a database created in an earlier version of SQL Server. To fix it run:
sp_dbcmptlevel @dbname=’MyDatabaseName’, @new_cmptlevel=90