By default in Windows XP Pro the Security tab is clubbed with the Sharing tab and one is not able to see the Advanced Security settings, like giving different users different permissions (like Read/Write) for a particular folder.
You can change this default setting by going to Control Panel->Folder Options->View tab->Uncheck "Use Simple File Sharing".
You can also perform this by opening Windows Explorer->Tools menu->Folder Options->View tab->Uncheck "Use Simple File Sharing".
Note that we need to make sure that App_Data folder in ASP.NET 2.0 web projects are "writable" by the ASP.NET runtime (if we are using Membership API). To do this, right click App_Data folder and select Properties, you will see a Security tab where you can add/edit users and permissions. Click the Add button, then type "ASPNET" and press enter.
Then give ASPNET user read/write permissions to this folder.