When performing a default install of Visual Studio 2005 an instance of Sql Server Express edition is installed. Unfortunately there are no sample databases included with Sql Express. (http://lab.msdn.microsoft.com/express/sql/)
I've had more than a few people ask how to get the Northwind sample database loaded into Sql Express so here are some step-by-step directions for getting Northwind up and running so you can start trying out all the great new data features in VS.
1) Navigate to the following URL and lick the Download button - http://www.microsoft.com/downloads/details.aspx?familyid=06616212-0356-46a0-8da2-eebc53a68034&displaylang=en
2) Complete the download and install process. This places the necessary files for Northwind (and Pubs) into the "c:\Sql Server 2000 Sample Databases" folder.
3) Open a command window. (Go to Start, Run, type Command and click OK)
4) Change the directory to the sample databases (type: cd c:\SQL Server Sample Databases)
5) Type or paste the following into the command window replacing computerName with the actual name of your computer:
osql -E -S computerName/SqlExpress -i instnwnd.sql
6) now go to VS and create a data connection using the computerName\sqlexpress as the Server name in the Add Connection dialog. The Northwind database should now be available.