I created a database with aspnet_regsql, the database was created in sql sever 2008 and not in data folder in my project (do I need to move it to the folder manually?).
Next, in Web Site Administration Tool I went to provider section and clicked don Test button.

I got an error:

Could not establish a connection to the database. If you have not yet created the SQL Server database, exit the Web Site Administration tool, use the aspnet_regsql command-line utility to create and configure the database, and then return to this tool to set the provider.

Maybe I need to set something in a web.config, like membership settings or connection strings (or ASP.NET Website Administrator Tool should create those settings for me)?

Update:
Maybe it happens because I am using SQL server 2008 full and not express?

Update 2:

After setting membership section and connection string to my aspnetdb database in Web Site Administration Tool I've opened security->Security Setup Wizard->Define Roles (stage 4) I got this error:

An error was encountered. Please return to the previous page and try again.

The following message may help in diagnosing the problem: Unable to connect to SQL Server database. at System.Web.Administration.WebAdminPage.CallWebAdminHelperMethod(Boolean isMembership, String methodName, Object[] parameters, Type[] paramTypes) at ASP.security_wizard_wizardpermission_ascx.OnInit(EventArgs e) at System.Web.UI.Control.InitRecursive(Control namingContainer) at System.Web.UI.Control.InitRecursive(Control namingContainer) at System.Web.UI.Control.InitRecursive(Control namingContainer) at System.Web.UI.Control.InitRecursive(Control namingContainer) at System.Web.UI.Control.InitRecursive(Control namingContainer) at System.Web.UI.Page.ProcessRequestMain(Boolean includeStagesBeforeAsyncPoint, Boolean includeStagesAfterAsyncPoint)