How To create a stored procedure for SQL Server from C# code?

I am trying to create a stored procedure in SQL server from a C# winforms application. This is the function I have so far.

public void CreateStoredProcedure(string SPname)
{
        try
        {
            string query = "CREATE PROCEDURE " + SPname + " AS SELECT * FROM People WHERE Address='Mumbai'";
            connection.Open();
            var command = new SqlCommand();
            command.CommandType = CommandType.Text;
            command.CommandText = "EXEC " + query;
            command.ExecuteNonQuery();
        }

        finally
        {
            connection.Close();
        }
}

Am I doing this right? I get an error message every time I try to achieve this.

Hey thanks a lot guys!! Its working now.. This is the code that finally did it..

 public void CreateStoredProcedure(string SPname)
    {
        try
        {
            string query = "CREATE PROCEDURE " + SPname + " AS SELECT * FROM People WHERE Address='Mumbai'";
            connection.Open();
            var command = new SqlCommand();
            command.Connection = connection;
            command.CommandText = query;
            command.ExecuteNonQuery();
            var adapter = new SqlDataAdapter(command);
            adapter.Fill(dt);
            dgv.DataSource = dt;
        }

        finally
        {
            connection.Close();
        }
    }

much appreciated! :)