Start by downloading the Feature Pack from http://www.microsoft.com/downloads/details.aspx?FamilyID=df0ba5aa-b4bd-4705-aa0a-b477ba72a9cb&DisplayLang=en

You will at least need the "Microsoft SQL Server 2000 DTS Designer Components" bit of it.

Once that's installed, open the Object Explorer window in MgtStudio, and within the Management folder, you should see Legacy, and in there, a DTS folder.

Good luck!

Rob