Yes - given that you're working with Entity Framework 4 (which is, confusingly enough, the second version...)
Edit: This is the way to do it with just EF4. In my original post below is described how to accomplish the same thing with the Code-Only approach in EF CTP3.
How to: Export model to database in EF4
To export a model to database, right-click anywhere in the designer (where you don't have an entity) and choose "Generate database from model..." and follow the steps described in the wizard. Voila!
Original post, targeting EF4 CTP3 and Code-Only: This is code I use in a little setup utility.
var builder = new ContextBuilder<ObjectContext>();
// Register all configurations you need here
builder.Configurations.Add(new EntryConfiguration());
builder.Configurations.Add(new TagConfiguration());
var conn = GetUnOpenedSqlConnection();
var db = builder.Create(conn);
if (db.DatabaseExists())
{ db.DeleteDatabase(); }
db.CreateDatabase();
It works on my machine (although here I've simplified a little bit for brevity...), so if something does not work it's because I over-simplified.
Note that, as TomTom stated, you will only get the basics. But it's pretty useful even if you have a more complicated schema - you only have to manually write DDL to add the complicated stuff onto the generated DB schema.