There are various tutorial that will show you how to connect to a local SQL Server Express and use Visual Studio's Server Explorer to create database objects, or design the database schema in the LINQ modeler and use the LINQ Datacontext deployment methods. this approach threats the MDF file of the database as a binary file of the project. Previous answers already pointed out the most popular ones.
What all these tutorials will fail to mention is that this method works only to deploy v1 of your product, and fails miserable when you want to deploy the next version. None of these methods provide a way to deploy a database schema upgrade to a production runing site.
For a hobyyist developer this approach will work, but a professional shop will have to use a much different approach. SO itself is full of questions from developers burned by the naive approach trumpeted in these tutorials (questions ranging from 'how do I check in my MDf in SVN?' to 'I have made modification to the MDF, how do I dpeloy them to my hosting?'). One alternative is to use a Visual Studio Database Project, define the schema in the database project that produces a .dbschema file and use the vsdbcmd tool schema diff deployment capabilities. Another alternative is to take full control and deploy all schema objects via upgrade T-SQL scripts: for each schema change, an upgrade script is created that deploys the change from vN to vN+1, and marks the database schema as being at VN+1. This later approach is best fit for multiple deployments, when each location may be at a differne tversion and each release has to be able to upgrade the schema from any verison on disk to the desired version, by running succesively all the upgrade scripts from the current on-disk version to the desired version. This, in fact, is the approach used by SQL Server itself to upgrade the resource database.