I'm unable to create the data source connection in Visual Studio 2008.
Step 4 says, “Select the HRPaidTimeOff database from the list of databases.

"You do not have permission to open this file
Contact the file owner or administrator to obtain permission."

How do I correct error?

Note: I later found an article that helped fix the problem...

This article helped me solve the problem.

Which data source do you choose in the Add Connection window? From your description, I think you chose Microsoft SQL Server Database File, right? Please change it to "Microsoft SQL Server".

If the database files are attached using the SQL Server Management Studio, we need to use "Microsoft SQL Server" then specify the server name and database name. Please first make sure the connection information is valid.

If we want to connect to a SQL Server database without attaching it first, we need to use "Microsoft SQL Server Database File" and locate the database files. In this case, the database will be attached and connected using user instance.

User instance is a feature of SQL Server Express. It is not supported by other editions of SQL Server (such as Developer or Enterprise). SQL Server Express is usually installed as a named instance called "SQLEXPRESS", so ".\SQLEXPRESS" is specified automatically.

References:

Add/Modify Connection (Microsoft SQL Server)
http://msdn.microsoft.com/en-us/library/dxb6fxah.aspx

Add/Modify Connection (Microsoft SQL Server Database File)
http://msdn.microsoft.com/en-us/library/tk2tbfb5.aspx

Working with User Instances
http://msdn2.microsoft.com/en-us/library/ms254504.aspx