I also had this problem when I tried to add a data connection through the server explorer in VS 2010 - it says that it only supports connections to MS SQL 2005 or higher. I was able to connect it to SQL Server 2000 db, adding a connection, selecting and selecting ".NET Framework Data Provider for OLE DB" as the data source, and for the OLE DB ddl provider, selecting "Native SQL Client", then enter the server on which db resides, security and db name.
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