One of the possiblilities is to provide the full path to the sde connection file. You can check it creating the connection in ArcCatalog then right clicking and selecting Properties.
C:\Python26\ArcGIS10.0>python
Python 2.6.5 (r265:79096, Mar 19 2010, 21:48:26) [MSC v.1500 32 bit
(Intel)] on win32
Type "help", "copyright", "credits" or "license" for more information.
>>> import arcpy
>>> arcpy.env.workspace="C:\Users\osedok\AppData\Roaming\ESRI\
Desktop10.0\Arc
Catalog\PABLO to TEST_SDE_SERVER.sde"
>>> dataset_list=arcpy.ListDatasets()
>>> for feature_dataset in dataset_list:
... print feature_dataset
...
MASTERMAP.ITN_Network
PABLO.Administrative
PABLO.Default_Blank_Dataset
PABLO.Default_Dataset
PABLO.Development
>>>
osedok 