To generate a database from a conceptual model
1 - Add an .edmx file to your project.
For information about adding an .edmx file to a project, see How to:
  Create a New .edmx File (Entity Data Model Tools) and How to: Add an
  Existing .edmx File (Entity Data Model Tools).
2 - Build the conceptual model.
You can use the ADO.NET Entity Data Model Designer (Entity Designer)
  to create entities and relationships or you can manually edit the
  .edmx file to build a conceptual model. For more information, see
  Implementing Advanced Entity Framework Features and CSDL, SSDL, and
  MSL Specifications.
NoteNote When you build the conceptual model, warnings about unmapped
  entities and associations may appear in the Error List. You can ignore
  these warnings because the Create Database Wizard will add the storage
  model and mapping information (see step 3).
3 - Right-click an empty space on the Entity Designer surface and select
  Generate Database from Model.
The Choose Your Data Connection Dialog Box of the Generate Database
  Wizard (Entity Data Model Tools) is displayed.
4 - Click the New Connection button or select an existing connection
  button from the drop-down list to provide a database connection.
You must supply a database connection so that column types for the
  target database can be determined based on property types in your
  model, and so that connection string information can be added to your
  application. Note that supplying connection information does not
  initiate data definition language (DDL) generation.
5 - Click Next.
The Create Database Wizard generates data definition language for
  creating a database. The generated DDL is displayed in the Summary and
  Settings Dialog Box (Generate Database Wizard).
6 - Click Finish.
Upon completion, the Create Database Wizard does the following:
Generates the store schema definition language (SSDL) and mapping
  specification language (MSL) that correspond to the provided
  conceptual schema definition language (CSDL). The .edmx file is
  updated with the generated SSDL and MSL. Note that the wizard
  overwrites existing SSDL and MSL.
Saves the generated DDL in the location specified in the Save DDL As
  text box. For more information about the generated DDL, see Database
  Generation Rules (Generate Database Wizard).
NoteNote If a storage model is already defined when you run the Create
  Database Wizard, the generated DDL will contain a DROP TABLE statement
  and DROP CONSTRAINT statement for each EntitySet and each
  AssociationSet (respectively) that are inferred from the storage
  model.
Adds connection string information to your App.config or Web.config
  file.
It is important to note that the Create Database Wizard does not
  execute the generated DDL. To create the database schema that
  corresponds to your conceptual model, you must execute the generated
  DDL independently (for example, execute the DDL in SQL Server
  Management Studio).