You cannot - at least not at this time. The CLR contained in SQL Server 2005 through 2008 R2 is the .NET 2.0 CLR, and the Entity Framework 4 requires the .NET 4 platform.
So, now that you are doing the material inside the SQL-CLR method, you are limited only to direct ADO.NET 2.0.
Then the big question remains: why do you want to use EF4 inside the SQL-CLR function? They are designed to store proc, user-defined functions, user-defined aggregates - but, of course, not full-blown database applications, really ...
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