Membership Database Not Getting Auto-Added to App_Data

I am using C# Visual Studio 2008 and SQL Express 2005.When I create a Website in VS2008 (File->New->Website...), then I add membership via the Web Site Administration Tool by creating a couple of roles and users; a database is then created physically in the App_Data folder and in the Solution Explorer, I see a plus sign after refreshing it and the database is shown.And this is now my problem: when I create a new ASP.Net Web Application (which is what I want, File->New->Project...->ASP.Net Web Application) and then I add the membership, the physical database is created, but I do not see it in the App_Data folder of my Solution Explorer, and manually adding it by right-click->add existing item, then pointing to the existing aspnetdb.mdf file in the App_Data folder doesn't work, because it gets added with an yellow ...