It should be there in Visual Studio 2005, so I assume you are using VS.NET 2003, in which case you need to download and install the Management (WMI) Extensions for Visual Studio .NET 2003 Server Explorer, available at:

http://www.microsoft.com/downloads/details.aspx?familyid=62d91a63-1253-4ea6-8599-68fb3ef77de1&displaylang=en