There is some conflicting information out there about what you need to run LINQ. This link
says that the C# LINQ Tech Preview will only work with VS.NET 2005 Release Candidate (RC). What is troubling is when you download the MSI file from that page, it is the same exact MSI file as the one distributed on Disc 4 at PDC. That file would only install on VS.NET 2005 Beta 2.
To make matters worse, this link tells us that the VB LINQ Tech Preview from the web site will only work with VS.NET 2005 RC (as does The LINQ Project Page). If you install RC and then the VB LINQ Tech Preview, you'll find that the files that get installed are newer than the C# version. However, the VB package is missing the System.Data.DLinq assembly.
I imagine updates will be coming to sort all of this out soon, but just thought you should be aware of the current state of things. To make things simple for now, use Beta 2 and C#.
Edited on 9/17 to add: Looks like MS updated the page to say that C# only works with Beta 2.