I want to create a SQL Server database in App_Data folder, but alert pops up saying:
Connections to SQL server database files (.mdf) require SQL Server
2005 Express or SQL Server 2008 Express to be installed and runnin on
the local computer

But I have this installed:

What’s wrong with that? I need help:/
You need the SQL Server Express, not the normal (non-express) one.
Quoting this thread on MSDN social:
Have a look at this SO thread, too: Problem with creating .MDF file from Visual Studio 2010