I was pleasantly suprised that the source code compiled!
Here is how I figured out how to change the connection string to get the - EFDataServices_VB sourcecode to work.
Create a new 'Dynamic Data Entities Project' using VS 2008. Right click on the new project root and select 'Add New Item'. In the dialog select ADO.NET Entity Data Model. The wizard prompts you for the database to use, select 'NorthwindEF.mdf', select at least one of tables to add to the model.
When finished I then copied the connection string in the web.config file of the new project to the web.config file of the EFDataServices_VB project and it worked.