The architecture of TFS 2010 is changed, and the shipped products are now aware of this new architecture. So you need an update for these products to be able to connect to TFS.
Visual Studio 2008
You need to install the Forward Compatibility Update for Visual Studio 2008. Before you can apply this Update, it is required that Service Pack 1 is applied to Visual Studio 2008. You can find the download over here
http://www.microsoft.com/downloads/details.aspx?FamilyID=CF13EA45-D17B-4EDC-8E6C-6C5B208EC54D&displayLang=en
To make a connection to the TFS 2010 server, you must type in the full url to the server, which is
http://<myserver>:<port>/<virtualdir>/<collectionname>
such as http://tfs2010:8080/tfs/DefaultCollection
Visual Studio 2005
For Visual Studio 2005 you also need to apply a Forward Compatibility Update. You also need Service Pack 1 for Visual Studio 2005 to be able to apply the Update. You can find the download at:
http://www.microsoft.com/downloads/details.aspx?FamilyID=22215e4c-af6f-4e2f-96df-20e94d762689&displaylang=en
You make the connection to the TFS 2010 server in a similar was as you do for Visual Studio 2008
Visual Studio 2003
For Visual Studio 2003 there is no Team Explorer, you will need the MSSCCI provider to be able to connect to TFS 2010. You can find the MSSCCI provider in the Visual Studio Gallery at:
http://visualstudiogallery.msdn.microsoft.com/en-us/bce06506-be38-47a1-9f29-d3937d3d88d6
Installation order does matter
Be aware that the order of the installation is important for the solution to work correctly.
1. Install Visual Studio 200x
2. Install Team Explorer 200x
3. Install latest Service Pack for Visual Studio 200x
4. Install the Forward Compatibility Update
When you install Team Explorer after you install the service pack, Team Explorer will not be patched by the Forward Compatibility Update!