Hi,
That's a mistake in the book - a couple of mistakes in fact.
1. It says drag from the Solution Explorer, when it means drag from the Server explorer.
2. It won't work with a global.asax page, it doesn't have a design view.
3. It will work with a standard .aspx page, but the drag/drop functionality (in VS 2005 anyway) is to create a SqlDataSource and a GridView, not a database connection component and a data adapter.
What version of ASP.Net is this book for? I can't remember what VS 2003 did.