This video shows me how to use Code First from an existing database. http://msdn.microsoft.com/en-us/data/jj572367
So I use nuget to install EF Power Tools and I select
I found the solution on the comments of the webpage of the EF Power Tools product; http://visualstudiogallery.msdn.microsoft.com/72a60b14-1581-4b9b-89f2-846072eff19d
In connection wizard, Advanced should be clicked and the value of Persist Security Info should be True.
If anyone can answer the original question and explain what is going on when you do this, I might tick them the answer!