I was having the same problem using EA 5.0 and Eclipse 3.0.2.
Basically, I did what the readme.txt said and just droped the jar file in the eclipse plugin directory, but eclipse wasn't loading it, therefore EA couldn't connect to it.
What I did was create an Eclipse extension point and put the plugin there.
Under the "C:\Program Files\Sparx Systems\MDG Link" (you could really put it anywhere), I created the following directory structure:
eclipse_extension/
eclipse_extension/eclipse/
eclipse_extension/eclipse/plugins/
in this "eclipse" directory, I created a file called ".eclipseextension", and put the following lines in it:
name=Sparx MDG Eclipse Link
id=org.sparx.mdg
version=1.0.19
I then placed the org.sparx.mdg.eclipse_1.0.19.jar file into this plugins directory.
Next, I started Eclipse, and from the menu, I when to
Help->Software Updates->Manage Configuration...
I clicked the "Add an Extension Location" link, and selected the "eclipse_extension" directory I just created.
Eclipse rebooted, and at that point, everything worked.