In the WinForms samples related to data, (CreatingMasterDetails, UsingBindingNavigator,...), if you install the AdventuresWorks in a directory diferent to C:\Program Files\Microsoft SQL Server\MSSQL.1\MSSQL\Data, (what will happen if you system root is in D:, if you have one non english system, or if you copy the database to another folder), then you will receive the error:
"You do not have the Adventure Works database installed".
Then you will try to fixed the right path in the app.config, or maybe reinstall the database, or attached it, ...
The problem is not in the database, neither in the app.config.
The fact is that the AttachDBFilename is hardcoded in the Function LoadDBData():
Dim connectStringBuilder As New SqlConnectionStringBuilder()
connectStringBuilder.DataSource = ".\SQLEXPRESS"
connectStringBuilder.AttachDBFilename = "C:\Program Files\Microsoft SQL Server\MSSQL.1\MSSQL\Data\AdventureWorks_Data.mdf"
connectStringBuilder.IntegratedSecurity = True
connectStringBuilder.UserInstance = True
So you need to update it to your directory, here in the sample,not in the app.config.
After updating it the program is repeating the same error.
This due to a second problem, now in the sub MyApplication_Startup of ApplicationEvents.vb, (in MyProject folder), where it is validate such directory:
If Not My.Computer.FileSystem.FileExists("C:\Program Files\Microsoft SQL Server\MSSQL.1\MSSQL\Data\AdventureWorks_Data.mdf") Then
MessageBox.Show("You do not have the Adventure Works database installed", "Configuration Error", MessageBoxButtons.OK, MessageBoxIcon.Error)
e.Cancel = True
End If
So you must update also this.

101 Samples Windows Forms (VB2005 Express): AttachDBFilename hardcoded!