You are looking for pages 106-109 in the manual. Downloading the PDF version of the manual makes searching through it much easier.
http://support.nikonusa.com/app/answers/detail/a_id/16431
http://www.nikonsupport.eu/europe/Manuals/hjker87rtj/D5000_en_04.pdf


I don't have a D5000, but my D700 has similar menu options to it. Adjusting the contrast, I can see the difference in the B&W images created by the camera.

The camera does a very simple conversion to b&w. You can get the same or better results doing the conversion on your computer where you have more control over the process (depending on the software used).

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Joseph K
Seattle, WA, USA

D700, D200, D70S, 24-70mm f/2.8, VR 70-200mm f/2.8 II,
50mm f/1.4 D, 70-300mm f/4.5-5.6 VR, 18-70mm f/3.5-4.5 DX