I'm trying to create a typed dataset in my asp.net project in VS2005 by
following the instructions from the Help (copied below).

The issue is that I do not see a data menu in VS2005.  I can only see the
data menu if I expand the Server panel and then expand my SQL Server.  Then i
see a data menu but it does not have the choices below.  It has choices only
for managing the SQL database like creating tables etc.

What's up with VS2005?

Creating Typed Datasets with the Data Source Configuration Wizard or with
the Dataset Designer
To create a dataset with the Data Source Configuration Wizard
On the Data menu, click Add New Data Source to start the Data Source
Configuration Wizard.

Select Database on the Choose a Data Source Type page.

Complete the wizard and a typed dataset is added to your project. For more
information, see Data Source Configuration Wizard.

To create a dataset with the Dataset Designer
On the Project menu, click Add New Item.

Select DataSet from the Add New Item dialog box.

Type a name for the dataset.

Click Add.

The dataset is added to the project and opens in the Dataset Designer.

Drag items from the DataSet tab of the Toolbox onto the designer. For more
information, see How to: Edit a Dataset.

-or-

Drag items from an active connection in Server Explorer/Database Explorer
onto the Dataset Designer.