I have a database called ApplicationName_Development running on SQL Server 2008 R2 Developer edition on my development box.
I added .NET membership tables to the databas
Another option could be to use the System.Web.Management namespace. I've had great success with the code below:
string connectionString = ConfigurationManager.ConnectionStrings["MyDatabaseContext"].ConnectionString;
string database = "MyDatabaseName";
SqlServices.Install(database, SqlFeatures.All, connectionString);
It will just create the database and after that you can add users with the standard membership API.