Can you create a connection to the DB using Server Explorer, and then drill down on the tables to ensure that the aspnet_* tables have been created?
Is your web.config set up to attach to the DB in app_data? That's what the config tool uses to connect to the db.
Did you have to run the attach commands in SQL Server Management Studio before steps 1 and 2? If so, you may have to detach before you can open the DB from the web.config settings. That whole auto-attach concept is flaky at best. I prefer not to use it. I normally keep my DB's attached to SQL Server, and I modify the connection string in web.config to point to my local DB. But for that to work, you also have to enable the TCP/IP protocol for SQL Server. See the book's readme file for info on the attach.detach commands.
By the way, I thought I'd point out that this is not a step-by-step book, so you can't create the whole DB (all tables and procs) just by following along in the book. The book assumes you know SQL Server and it doesn't give you explicit steps for every detail. Most newbies are better off starting with the canned DB.