Put your connection string in webconfig, If you have the *.mdf placed in App_Data folder, using this format works
<connectionStrings>
<add name="ConnectionName"
connectionString="Data Source=.\SQLEXPRESS;AttachDbFilename=|DataDirectory|DatabaseName.mdf;Integrated Security=True;User Instance=True"
providerName="System.Data.SqlClient" />
</connectionStrings>