In VS.NET 2003 (and 2002 I'd guess) those components (yes, they do inherit the Component class) were included in the Toolbox by default. From VS 2005 onwards they are not, basically because you'd rarely use them at design time anymore. If you want to create design-time data access components then you'd normally use the Data Source Wizard to generate a typed DataSet that would include TableAdapters. The TableAdapters take the place of the DataAdapter and Connection objects and they are automatically added to the Toolbox after the wizard completes.

If you don't want a typed DataSet then you'd normally not want to create your data access components in the designer. You can still create DataAdapters and Connections in code, just like any other objects. If you really do want to add a DataAdapter to a form in the designer then you can add the component to the toolbox manually, just as you can with any component.