I went ahead and setup the following on my server at home:

Virtual Server 2005 with the SQL Server Express2005 and all the VS2005 betas.  If you install any of the other Betas (which you might as well if you already installed .NET 2.0) then you can just set up a data project and fly from there.  It's pretty slick in my opinion.

Otherwise, you'll have to do what Nilton pointed out.  The .NET utilities don't require the other options to be turned on.