Hey Mark,
The bad thing about VS 2005 beta 2 is that you should install the Sql server CTP(2005) which is along with the build or else it would give you the above error
The reason what i think is that by default the datasource is Access for VS2005 and this DB is some sought of encrypted format and only those drivers which are a part of sql 2005 CTP would be able to open it.hence its very much mandatory to install Sql 2005.
hope this would help you to trouble shoot this...if SQL server is the required Database then you would have to run the aspnet_regsql.exe from the winnt/framework/2.XX/ folder.

Hi Mark:
By default, web parts uses the SQL 2005 Express provider for data storage. To use SQL Server 2000, you need to do some work:

1. Use the aspnet_regsql.exe tool located in
C:\WINDOWS\Microsoft.NET\Framework\v2.0.50215\ to prepare SQL Server 2000. Essentially it will add the aspnetdb database.

2. In Web.config, add the following:

<connectionStrings>
<add name="myconnstring"
connectionString="Data Source=your_server_name;Initial Catalog=aspnetdb;Integrated Security=True"
providerName="System.Data.SqlClient" />
</connectionStrings>

<system.web>
...
...

<webParts>
<personalization
defaultProvider="SqlPersonalizationProvider">
<providers>
<add name="SqlPersonalizationProvider"
type="System.Web.UI.WebControls.WebParts.SqlPersonalizationProvider"
connectionStringName="myconnstring"
applicationName="/" />
</providers>
<authorization>
<deny users="*" verbs="enterSharedScope" />
<allow users="*" verbs="modifyState" />
</authorization>
</personalization>
</webParts>
</system.web>

That should work fine for you.

Hope it helps.
BTW, Firefox doesn't seem to work too well with Web parts.

regards,
Wei-Meng