Even in Management Studio that ships with SQL Server 2012 (BTW please stop using SSMS 2005 to manage 2008+ instances), the Generate Scripts option will not offer Service Broker objects, whether you select "script all" or select individual objects. You'll need to use other methods - SMO, PowerShell, or right-clicking within the Service Broker node of Object Explorer and scripting items individually. You can speed this up a bit using Object Explorer Details (in the right-hand pane you can select multiple objects and script them), but this is still one operation per object type.
PS this was complained about years ago, but sadly, closed as Won't Fix.
http://connect.microsoft.com/SQLServer/feedback/details/515831/generate-sql-scripts-wizard-missing-object-types