When I add a New Data Source from the Data Source Configuration Wizard(VS 2008), I get the above error message.

You don't have permission to open this file
What should I do in SQL Server 2005 Express to allow the VB project to have permission to access the AdventureWorks database?

The user id that was used to create SQL Server 2005 Express and AdventureWorks database is the same as the one being used to create the VB 2008 project and has administrator rights in Vista machine.