The Code snippet in the question has the answer in it.
As Wes Aday said in the comments:
Change:
cnnSQL.InitialCatalog = "AdoStepByStep_Data.MDF"
To:
cnnSQL.InitialCatalog = "AdoStepByStep"
If this does not solve your problem, please post a response to the suggestions.
As for the question: What do I have to do so I can access the .MDF file directly so I can create DataSets?
You can not access the .MDF file "Directly", you must mount the database to an SQL Server and access the database using a connection string to attach to the SQL server before you can create datasets.