You don't. MDB are access database files. If you want to create a new database for msde you can do it through server explorer in VS.Net or via code you can use the CREATE DATABASE command
CREATE DATABASE
ON ( NAME = ,
FILENAME = ,
SIZE = 10,
MAXSIZE = 20,
FILEGROWTH = 5 )
LOG ON ( NAME = ,
FILENAME = ,
SIZE = 5MB,
MAXSIZE = 25MB,
FILEGROWTH = 5MB )
where the logical name parts are identifies used inside MSDE and the physical paths are the actual filenames on disk - the directory specified must exist but the file itself shouldn't. By convention the database filename edns with a .mdf extension and the log with a .ldf.