Can't find Data Link File on File>New menu...

I'm reading a book called "Active Server Pages Bible" by Eric A. Smith (published by IDG). In it, it says you can create a Data Link File by opening Windows Explorer, going to the directory you wish to create the file in, and clicking File->New->Microsoft Data Link.

Only problem is....I don't see no stinkin' "Microsoft Data Link".

I have tried this on Win98se and WinNT2000 Advanced Server boxes. The Microsoft Data Link item does not seem to exist.

Any ideas?

Awwww..... Come 'on..... Somebody has to know something....