Personally I don't use filters at all, especially when I'm going for white balance accuracy. I would recommend it not being on at all but if you leave it on I'd do a white balance adjustment while it is on.
You can use or not use a lens hood during the measurement. It doesn't make any difference in the result.
The D5000 forum is the best place for this and I'm sure one of our friendly admins will move this over there.