No I'm using VS 2005. The only thing in server explorer is an item at the top that says "Data Connections". If I right click it and choose "Add connection" a window with the title "Choose Data Source" pops up. In that window there are
6 SQL servers and an <other> item.
Hmm ... which version of VS 2005 are you using? It should be there AFAIK, maybe it's an optional component to install?
You can do it without the tool - but you have to write a little bit more code. Take a look at this documentation: