I'm getting a File Access Denied error when I try to add a SQL Server .mdf file to an ASP.Net project

I've created a new ASP.Net Dynamic Data Entities Website project in ASP.Net 2013.  I'm trying to add a SQL Server 2008 database called Pubs, downloaded from Microsoft, to my project in the app_data folder.  I right click the folder icon in the solution explorer, choose Add Existing object, navigate to the Pubs.mdf file, and select that.  I then get a Access Denied message box.  What can I do to allow access for ASP.Net to this file?