I installed on a Vista x64 machine Visual Studio 2008 SP1 (with integrated SQL from the installation package) and when I try to add an MDF file to a project or to the App_Data when working with web, I get the following message:
Connections to SQL Server Files (*.mdf) require SQL Server Express 2005 to function properly. Please verify the installation of the component or download from the URl: http:go.microsoft.com/fwlink/?linkID=49251.
Just to make sure: SQL 2005 express is installed and I connect to it via SSMS.
Update: I am 90% sure that this is a Microsoft bug with x64 machines.