You can assign a connection string to the constructor of the DataContext. E.g. rather than specifying:
you should be able to pass something like this instead:
Data Source=.\SqlExpress;Initial Catalog=AdventureWorks;Integrated Security=True;
which points to a local instance of SQL Server called SqlExpress which should already have the AdventureWorks database attached to it.
For info about attaching database, take a look here: http://imar.spaanjaars.com/395/confi...ql-server-2005