To add to Matt wilson's answer I had a bunch of code-first entity classes but no database as I hadn't taken a backup. So I did the following on my Entity Framework project:
Open Package Manager console in Visual Studio and type the following:
Enable-Migrations
Add-Migration
Give your migration a name such as 'Initial' and then create the migration. Finally type the following:
Update-Database
Update-Database -Script -SourceMigration:0
The final command will create your database tables from your entity classes (provided your entity classes are well formed).