C#'s collection initialization syntax is only supported in versions 3 and up (since you mentioned .NET 2.0 I am going to assume you are also using C# 2). It can be a bit confusing since C# has always supported a similar syntax for array initialization but it is not really the same thing.
Collection initializers are a compiler trick that allows you to create and initialize a collection in one statement like this:
var list = new List<String> { "foo", "bar" };
However this statement is translated by the compiler to this:
List<String> <>g__initLocal0 = new List<String>();
<>g__initLocal0.Add("foo");
<>g__initLocal0.Add("bar");
List<String> list = <>g__initLocal0;
As you can see, this feature is a bit of syntax sugar that simplifies a pattern into a single expression.
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