When you are creating Movie Collection Starter Kit keep in mind that the project wizard just prepares the files for the project. You need to ‘Save’ the project so the files can actually appear on the disk.
One more step is required. In project setting open the .settings file and change the connection string to SQL Express database to point to the location where the .mdf file resides. It should be in the same folder where you saved your project.
Now you are ready to rock.