Brian Cauthon's answer is excellent! Just a little update, for EF 6, the class got moved to another namespace. So, before EF 6, you should include:
System.Data.Objects.SqlClient
If you update to EF 6, or simply are using this version, include:
System.Data.Entity.SqlServer
By including the incorrect namespace with EF6, the code will compile just fine but will throw a runtime error. I hope this note helps to avoid some confusion.