Entity Framework 5 code-first not creating database

I'm trying to create a new database using the code first concept of Entity Framework. However when running the code the database isn't created (using the DropCreateDatabaseIfModelChanges setting), though the code is running fine. I'm seeing the following exception when I try to get something from the database.

My project is setup using a separate DataAccess layer with an generic service and repository construction. So all my entities, repository and also database context are in a separate project within the solution.

My global.asax file contains the following piece of code.

Database.SetInitializer(new DropCreateDatabaseIfModelChanges<MyContext>());

This should initialise a new database if it isn't there, right?

My database context class looks like this;

namespace Website.DAL.Model
{
    public class MyContext : DbContext
    {
        public IDbSet<Project> Projects { get; set; }
        public IDbSet<Portfolio> Portfolios { get; set; }

        /// <summary>
        /// The constructor, we provide the connectionstring to be used to it's base class.
        /// </summary>
        public MyContext()
            : base("MyConnectionString")
        {
        }

        static MyContext()
        {
            try
            {
                Database.SetInitializer<MyContext>(new DropCreateDatabaseIfModelChanges<MyContext>());
            }
            catch (Exception)
            {
                throw;
            }
        }

        /// <summary>
        /// This method prevents the plurarization of table names
        /// </summary>
        /// <param name="modelBuilder"></param>
        protected override void OnModelCreating(DbModelBuilder modelBuilder)
        {
            base.OnModelCreatin