VSTS: "No commands available" in Source Control Explorer a.k.a. "everything is greyed out?!"

This one comes up frequently in our development teams, especially those who have transitioned a project off VSS and into Team Foundation Server.  The question usually goes something like:

 "Someone has installed VS 2005 + Team Explorer on an existing Windows XP box.  They login using their domain credentials open VS 2005, they have access to TFS via Team Explorer. When every they try to view the source control everything is grayed out?
 
Source Control Explorer has not created an work space but on their Vista machine they have access and an work space, do you know what can be the problem?"

Well, the most likely problem is that their VS is not setup to use Team Foundation Server as the source control plugin.  To resolve this, visit Tools > Options > Source Control and select "Visual Studio Team Foundation Server" from the list.