Create SQL database for role/membership site?

I am trying to follow the walkthrough for creating membership and login feature for my website: http://msdn.microsoft.com/en-us/library/879kf95c.aspx.
 
I notice that in my VisualStudio 2010 project the folder App_Data is empty.
Am I able to create a local database here to store the membership information?  
If so, how do I create this database and then link to it?
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