Have you specified in the web.config that you are going to use roles?
<roleManager enabled="true" defaultProvider="AspNetSqlRoleProvider">
<providers>
<clear />
<add name="AspNetSqlRoleProvider" connectionStringName="DefaultConnection" applicationName="/" type="System.Web.Security.SqlRoleProvider, System.Web, Version=2.0.0.0, Culture=neutral, PublicKeyToken=b03f5f7f11d50a3a" />
</providers>
</roleManager>