Ok, figured this out and this is retarded. First off, if you look into the built in help in Win2K you will find this but it's so counter-intuitive that I thought I would post it:

Open a folder. Right-click in the folder, select New and then Text File. Go to the Folder menu item in the folder and choose Options. Select the View tab. Ensure that you uncheck "Hide file extensions for system files". Hit OK. Now go back to the text file. Right-click it and rename it to MyData.UDL. You'll get a warning about changing the extension; ignore that. Now when you right-click on the file, and select Properties, the Microsoft Data Link properties sheet will come up.

Is that bizarre, or what?