I put together the Zip Code package from this chapter, and get the following error in the execution results:

[SQL Server Destination [35]] Error: An OLE DB error has occurred. Error code: 0x80040E14. An OLE DB record is available. Source: "Microsoft SQL Native Client" Hresult: 0x80040E14 Description: "Could not bulk load because SSIS file mapping object 'Global\DTSQLIMPORT' could not be opened. Operating system error code 2(The system cannot find the file specified.). Make sure you are accessing a local server via Windows security.".

Any ideas?

Just a suggestion - click on your Connection Manager for AdventureWorks, press the Edit button and on the next screen the Test Connection button. Also, right click on AdventureWorks connection and check properties. It's ConnectionManagerType should be OLEDB.