On that page the database is created in step 2 which instructs you to call aspnet_regsql. There is more detail on creating this database which is part of ASP.NET 2.0 on this page:
You can also see all the files for that sample in your install for Windows Workflow Foundation in this directory. You must have extracted the Samples.ZIP first.
where to download using aspRoles sample
Cantabrian
http://winfx.msdn.microsoft.com/library/en-us/winwf_samples/html/45938e25-95ce-4d6d-8c9f-fcb1eefca20a.asp
Shirashe
http://msdn.microsoft.com/library/default.asp url=/library/en-us/dnpag2/html/paght000013.asp
You can also see all the files for that sample in your install for Windows Workflow Foundation in this directory. You must have extracted the Samples.ZIP first.
C:\Program Files\Microsoft SDKs\Windows Workflow Foundation\Samples\samples\technologies\roles\asproles\cs
Regards,
Paul
Viral Thakkar
Regards,
Paul