I was seeing the error:
The type or namespace name 'ApplicationBlocks' does not exist in the namespace 'Microsoft' (are you missing an assembly reference?)
The missing DLL is
Microsoft.ApplicationBlocks.Data.dll.
It is available from
http://download.microsoft.com/download/VisualStudioNET/daabref/RTM/NT5/EN-US/DataAccessApplicationBlock.msi
The downloaded file DataAccessApplicationBlocks.msi adds a VB and C# solution to the folder.
Click on this to open the solution in visual studio.
You’ll be asked if you wish to run with elevated permissions. Select yes.
Right click on the project in the solution explorer window and select build.
This will build the DLL at:
C:\Program Files\Microsoft Application Blocks for .NET\Data Access v2\Code\CS\Microsoft.ApplicationBlocks.Data\bin\Debug
I went back to the original DotNetNuke project and right clicked on References and selected add. Using browse to find and reference the dll.
You may wish to ensure that copy local is set to false for each of the referenced dlls.
References
Code Project: Microsoft Application Block for Data Access in NET


