By default, web parts uses the SQL 2005 Express provider for data storage. To use SQL Server 2000, you need to do some work:
do create a database in sql server with the name aspnetdb

dont get confused when u see (( )) this is coz google gets mad when it sees &lt &gt

1. Use the aspnet_regsql.exe tool located in C:\WINDOWS\Microsoft.NET\Framework\v2.0.50215\ to prepare SQL Server 2000.

Essentially it will add the aspnetdb database.

2. In Web.config, add the following:
(connectionStrings)
(add name="myconnstring" connectionString="Data Source=your_server_name;Initial Catalog=aspnetdb;Integrated Security=True"providerName="System.Data.SqlClient" /)(/connectionStrings)

(system.web)......
(webParts)
(personalizationdefaultProvider="SqlPersonalizationProvider")
(providers)
(add name="SqlPersonalizationProvider"type="System
.Web.UI.WebControls.WebParts
.SqlPersonalizationProvider"connectionStringName=
"myconnstring"applicationName="/" /)(/providers)
(authorization)
(deny users="*" verbs="enterSharedScope" /)
(allow users="*" verbs="modifyState" /)
(/authorization)
(/personalization)
(/webParts)
(/system.web)

That should work fine then.