How can I get very sharp macro insect photos with a Nikon 105mm on a D300s?

I wouldn't worry about exotic techniques like focus stacking -- the depth of field in the example photo isn't very deep (perhaps 1.5-2mm of relative sharpness at most). You should be able to achieve that by going to the minimum aperture for your lens then opening up about a stop. (With the 105, that would be the physical aperture size that gets you f/22 at infinity focus. Since the lens is an internal focus design and the actual aperture ratio changes with lens draw when focusing close and I don't have a 105 to test with, I can't tell you what the aperture reading will be on the camera.)

The trick is to put the zone of sharpness where it makes the most effective picture, and then to make the most you can of that depth of field. Don't try to use autofocus; set your lens manually to the magnification you want, and use your body (or a macro focusing rail, if you have the time) to focus. Shoot when the image in the viewfinder looks good -- if the details of interest are in focus in the viewfinder at maximum aperture, they'll be in focus on the sensor when the aperture is stopped down.

Chilling† a cold-blooded subject can help a lot (and gives you time to use the rail), but flash or a high shutter speed (if the ambient light level is high enough) will do the trick if the critter lets you get close enough.

Horseflies are fairly big -- the species depicted averages about 1/2" in overall length -- but to get the magnification in that picture you're either going to have to use an additional extension tube or crop your image (the Micro-Nikkor 105mm only goes to 1:1). For an insect this large or larger, cropping is a worthwhile approach. When the bugs get much smaller, an extension tube (or bellows) is the only way to go since there won't be enough image to work in post and critical focus gets a lot harder to achieve.

Oh -- expect failure when you're shooting live, unfrozen subjects. There is, of course, more to photography than taking a lot of pictures, but there are times when you pretty much have to assume that you're not going to get "the shot" on the first click. If it takes you a hundred shots to get one good one, all you've spent is about six calories of finger-twitching energy and one write cycle on a few cells on a memory card.

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† It could also be argued, at least where unendangered freakin' horseflies are concerned, that one needn't be overly careful about the life status of the subject. I wouldn't argue that, of course (he said, reassuring his Buddhist friends), but some people might. Just sayin'.