Bump - I'm also having this issue.
Short background on what I'm trying to do: modify a DTS package originally from SQL Server 2000 in 2008 R2 64-bit (Windows Server 2008 R2 SP1).
Here's what I've done:
1. Stopped SQL Server service.
2. Installed SQLServer2005_BC_x64.msi (selecting 2000 DTS runtime and SQL-DMO)
3. Installed SQLServer2005_DTS.msi
4. Started SQL Service service.
5. Tried to open DTS package --> "SQL Server 2000 DTS Designer components are required to edit DTS packages..."
6. Stopped SQL Server service.
7. Copied .DLL and .RLL as recommended by Gianluca above.
8. Started SQL Server service.
9. Tried to open DTS package --> "SQL Server 2000 DTS Designer components are required to edit DTS packages..."