<p>Specifically, in VS 2008, I want to connect to a data source that you can have by right-clicking on the automatically-generated App_Data folder (an .mdf "database"). Seems easy, and it is once you know how.</p>

So here's the answer from MSDN:
Choos[e] "Add New Data Source" from the
  Data menu.[And follow the connection wizard]
Very easy, except that I have no Data menu. If you don't have a Data menu, do the following:
Click on Tools >> Connect to Database...
Select "Microsoft SQL Server Database File", take the default Data provider, and click OK
On the next screen, browse to your Database file, which will be in your VS Solution folder structure somewhere.
Test the connection. It'll be good. If you want to add the string to the web.config, click the Advanced button, and copy the Data Source line (at the bottom of the dialog box), and paste it into a connection string in the appropriate place in the web.config file. You will have to add the "
```
AttachDbFilename
```
" attribute and value. Example:
The raw text from the Advanced panel:
```
```
Data Source=.\SQLEXPRESS;Integrated Security=True;Connect Timeout=30;User Instance=True
```
```
The actual entry in the web.config:
```
```
<add name="SomeDataBase" connectionString="Data Source=.\SQLEXPRESS; 
AttachDbFilename=C:\Development\blahBlah\App_Data\SomeDataFile.mdf;
Integrated Security=True; Connect Timeout=30; User Instance=True" />
```
```