Hi Daz,
Look mate I might be missing something but Code Coverage is a service that
is run by the TFS server (among other things). Make sure that your VS 2005
professional edtn + Developer suite machine has connected to the TFS server
via the connect to command on the tools menu (available once you install Team
Explorer from the TFS CTP 2005 cd - msdn subscriber download) .

Once your connected, not sure if you have to, but create a team project for
the app your developing (will allow creating fancy reports , etc viewable via
WSS site) and assuming code coverage service is up and running on the TFS
server you are connected to I believe you should be able to perform this type
of analysis.

Haven't tried it yet (otherwise i would mention the specific process) so i
will try it over the weekend and report back here if i work it (hopefully
someone else will jump on this Q in the meantime.

One other tip.....
Check out the tutorials at http://teamsystemrocks.com/tutorials/
no promises but you may find more on what you are looking to implement...