PROBLEM Solved.
Apprently VS SP6 has a bug.
I wouldn't suggest to install it at all.
You need to replace MDT2DF.DLL (version 2.0.0.9586)
in
C:\Program Files\Common Files\Microsoft Shared\MSDesigners98
by
MDT2DF.DLL from SP5 (version 2.0.08958)
Here is what I did.
1. http://msdn.microsoft.com/vstudio/downloads/updates/sp/vs6/sp5/sp5_en.aspx
2.
Downloaded 'vs6sp54.exe'
3.
Run WinZip. Extract MSDesign/mdt2df.dll
4.
Replaced mdt2df.dll
Now SQL Server 2000 diagrams are back.