I was doing a fresh install of MOSS and didn’t see the Business Data Catalog section listed in the SSP. The Business Data Catalog wasn’t there because I hadn’t enabled Enterprise Features in the Operations page.

Simple fix, in the Operations page look at the bottom of the page for the Upgrade and Migration section.  In there you will find Enable Enterprise Feature.  Click Enterprise and input your key.

Follow the directions on the screen and you should be ready to go.