Sql-server – on SQL Server 2005 user can see just his/her database not all

You can't deny anything to 'sa' (or, more correctly, to members of the sysadmin role). Inside the database, you can't deny anything to 'dbo' (or, more correctly, to members of db_owner role). That's just the way things are and there is nothing you can do to circumvent it.

If you want to audit a server you must upgrade to SQL 2008 and use the built-in audit infrastructure. This infrastructure is tamper-proof by design, so even though sysadmins can disable it, the disable is evident in the audit log.

Speaking from the development side, I can say that the admin should be able to lock everyone down to their own database (and probably master as well, for metadata). From the MSDN, the list of SQL Server securables includes databases and the permissions include being able to even see the database. Here is a link to the MSDN Security considerations for databases.