=INT(H5/500)

Note that this works fine as long as H5<2000, but if H5 is ever =2000
will return a value 3. Of course, that may be what you want, but it
isn't in your specification.

I thought he simply got tired of type.<g

And the reason I thought that was because the OP started by saying...

How can I create an IF formula that shows that if the number is
between 0 and 500 it is 0, if it is between 500 and 1000 it is 1, if
it is between 1000 and 1500 it is 2.

and then later on gave this example...

=IF(H5=500,1,IF(H5=1000,2,IF(H5=1500,3)))

adding the H5=1500 producing 3 condition.

Rick