Yes I have the latest service pack SP8 for Access 2002.
I did create ADP project first, then I connected to SQL server and then created a new database, then I put two tables in it with primary keys. And then my problem start, where to click to create the relation between the tables. It is very easy when you have database in Access instead of MSDE, you click on relation icon and link tables.
I think somehow I need to get following screens

http://www.sqlmag.com/Files/09/7633/screen_05.gif
http://www.sqlmag.com/Files/09/7633/screen_06.gif

Have you created database in MSDE using Access and then linked the tables?