I cannot find the database controls (SQLConnection, SQLDataAdapter,etc) in

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Welcome to a new way of doing things. In VS2005/ADO.NET 2.0, it's all about
selecting/creating a Data Source (which includes designation of such things
as the database type and location). Basically, it's a new level of
abstraction.
Start a test project, then go to your Data menu to select or create a Data
Source. You can find lots of tutorials as well:

http://www.asp.net/learn/dataaccess/tutorial01cs.aspx?tabid=63

http://quickstarts.asp.net/QuickStartv20/aspnet/doc/whatsnew.aspx