Yes, you need AF-S for the D5000 unless you don't mind manual focussing. If you are into manual focussing the older lenses are also compatible.
Look for the micro lenses from Nikon. They come in 60mm, 105mm and (i think) 180mm. They cost between 700sgd and 2000sgd with the longer focals becoming more expensive. The longer focals let you take the shots from longer distances without spooking the insects. Personally I would suggest that you try using the 18-55mm kit lens first. It is an amazing lens for its price with ~20cm closest focal distance.