The way you suggests was first introduced in C# 3.0 (has nothing to do with LINQ, it was a language feature that was introduced).
There's no "shortcut" (list initialization) in C# 2.0 to do just that, either new up the list and then add the numbers manually via myValues.Add, or you could do the following:
int[] arrMyValues = new int[] {1, 2, 3};
List<int> myValues = new List<int>(arrMyValues);
List of T can take an IEnumerable of T in it's constructor, of which it'll include all T's in that IEnumerable in the list created, seeing as int[] implements IEnumerable of T you can "mix and match" the features like so.
Besides that, there's no way in C# 2.0 to do a such thing that you describe.