Hi,
First make sure you have Adventurework database on your Database Engine.
Second make sure you have required permission to perform this task.
If this does not help, please if there is an error message post it, otherwise provide more description.
I hope this is helpful.
Elmozamil Elamir
MyBlog
Please Mark it as Answered if it answered your question
OR mark it as Helpful if it help you to solve your problem
Elmozamil Elamir Hamid
http://elmozamil.blogspot.com