Are you just dragging a connection component into your form and setting it up, or are you allowing Visual Studio to build a typed dataset? Or, maybe you are trying to drag objects from Database Explorer, which doesn't work.

First, you need a project open. Then on the C# menu, select Data, Add New Datasource. Go through the dialogs to indicate what you want to connect to, then VS will generate the connection, dataset, adapters and binding sources needed. The tables (and possibly other data objects) will be displayed in the Data Sources window. If it doesn't appear automatically, use the menu selection Data, Show Data Sources to open it. It is the Data Sources window which you use to drag tables and other data objects to your form to automatically add the controls and components needed.

Hope that helps.