When connecting to TFS using your Windows Identity, and then your Windows Identity changes (from moving your development machine into another domain for example), you might encounter some problems.
Generally if your machine can't authenticate to TFS, you should be prompted to authenticate with a new username/password. If this doesn't happen though, then you'll need to add a new entry to the Stored User Names and Passwords feature of Windows.
On Windows XP, to get to the feature use the Start | Control Panel | User Accounts | Advanced Tab | Manage Passwords path to display the following screen:
Click the Add button, and then add in the following information:
Your specific information will vary, but after clicking OK and then Close, if you restart Visual Studio then you should be able to connect to TFS successfully.