It sounds like the MembershipProvider connection is not correctly set up in your web.config file. It should look something like this (with "MyAwesomeDatabaseConnectionName" being the name of the configured connection string, in the connectionStrings section of the file):
<membership>
<providers>
<clear/>
<add name="AspNetSqlMembershipProvider"
type="System.Web.Security.SqlMembershipProvider"
connectionStringName="MyAwesomeDatabaseConnectionName"
applicationName="MyAwesomeApp"/>
</providers>
</membership>
Also, it looks like you are configured for Windows authentication, but if your membership data is in a database, you'll want to configure for Forms authentication:
<authentication mode="Forms">
<forms loginUrl="~/myloginpage.aspx"
defaultUrl="~/myhomepage.aspx" />
</authentication>