Will these filters work on a Nikon D5000?

Http://www.amazon.com/Digital-Concepts-Close-Up-Macro-Filter/dp/B001ANXRQA/

If not, where can I find ones that do?

You don't fit filters to a camera, you fit them to a lens.

If your lens for the D5000 has a 52mm diameter (usually enscriped on a ring in the front) then these will work. 52mm will work for the 18-55mm or the 55-200mm. If you have the 18-105mm, then you'll need a 67mm filter.