>I looked at the script that SQL Server created and I don't see the command CREATE DATABASE. The script starts with the following lines:
>
>

>SET ANSI_NULLS ON
>GO
>SET QUOTED_IDENTIFIER ON
>GO
>

>
>Do I understand you correctly that I need to add the line CREATE DATABASE MyDbName right before the first SET command?

You can add this code right after that GO. Are you sure CREATE DATABASE statement is not included?