Failed to connect to an IPC port: The system cannot find the file specifed?

OS:              Windows Server 2003 R2 64-bit(Enterprise Edition) with SP2
SQL Server: SQL Server 2005 Enterprise Edition with SP4 (Version 9.00.5292.00) 64-bit

Steps to get the error:
1) Start SQL Server Management Studio
2) Press the "New Query" button
3) Write a query
4) Select from the menu "Query -> Analyze query in Database Engine Tuning Advisor"
5) You get the "Failed to connect to an IPC Port: The system cannot find the file specified. (mscorlib)" error

Please help me.

Thanks

Srini