Create MSSQL database

How to create the database files when it is not existing (first time).

In the AureliusConnection, I have added the filename in the ODBCAdvanced property like : AttachDBFileName=C:\MyDataFile.MDF but when I execute the BuildDatabase, the error message "Unable to open the physical file C:\MyDataFile.mdf. Operating system error 2". 
What I'm doing wrong or how to do it correctly ? 

That is not possible. You should have your MSSQL database already created to be able to connect to it using Aurelius (or any 3rd party db access component, like FireDAC or dbExpress).

If I want do create the database in the code, I should first use ADOConnection and ADOQuery to create the database file then I can use Aurelius. It is no other way to doit in the code. Is it correct ?

That's one approach, indeed. But how would you create the database with ADOQuery as well?

We can create the database as described here:

Ok. Yes, you should execute raw SQL statements. You can do that with ADO, or you can use Aurelius IDBStatement:

Thank you for your answer and your time