In step 5. you have to select a project from the drop-down. If you use solution folders to organise your projects, you will find the list is blank. The project you want to put your dataset into must be in the root of the solution, and not contained in solution folders.
You can move it there temporarily, but if you then move the project back to a solution folder you will get an error when you open the Dataset/TableAdapter to update or change it.
(Found to be case in VS 2008 SP1 - 10th Feb 2009)