So, just setting up some new machines today and realized that I have once again to look for the links to the TFS installer packages to be able to connect AX to TFS. The TFS version can be 2010, 2012 or 2013.
I think I should have mentioned that on this machine I only have Visual Studio 2013, but no Visual Studio 2010 or Team Explorer 2010.
So, download first the Team Foundation Server 2010 SP1 Object Model Installer from here:
If you're connecting to a TFS 2010 that should be enough. If the version is higher, then you will also need a second download, the Visual Studio 2010 SP1 Team Foundation Server Compatibility GDR, from here http://www.microsoft.com/en-us/download/details.aspx?id=29082.