I believe you are looking for this page:
http://msdn.microsoft.com/en-us/library/yft2c9ad.aspx
To quote msdn: “You can add a data source to a project only if it supports creating and working with data sources. For example, you can’t open the Data Sources window in a project for a Windows Store app.”
Basically, if using a database seems logical in your application, you can probably use one.
To answer your question about the “mythical ‘Data’ menu bar option”, here’s how you access it:
You just have to select “View”, then “Other Windows”, and finally “Data Sources”
And to answer your final question about, “Also, is there any way to ‘adjust’ the features of a project after it’s been created?”
Yes, yes there is. If you mean as a compiled executable, one could simply decompile the project or use an ILcode editor. If you mean as a solution in visual studios, using the solution explorer you can access “My Project” and simply double click that to get a nice little gui for adjusting your project.
EDIT:
For an overload of information about data in visual studios, you can visit: http://msdn.microsoft.com/en-us/library/wzabh8c4.aspx
For more information about just the data source window, you can visit:
http://msdn.microsoft.com/en-us/library/6ckyxa83.aspx
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solved Which Visual Studio project types support Shift+Alt+D to open the Data Sources window?