This could be your version MDAC. Make sure you are using MDAC2.6, which should install with sql 2k.
Akso try installing SQL2K SP2. If this doesn't work right click on EM and select Properities and in the Connectiosn tab set the timeout = 0.
If issue is with Query Analyzer
go to Tools >> Options >> Connections and change the setting there from the default of 15 seconds to 0.