What is the sample project you try to run? The only sample project that is featuring how to create a sample that has separate tables to store its content is our Products module for which you can find documentation in our Developers Guide - Creating Custom Module
. My suggestion is to also download the latest version of our Sitefinity SDK 4.1 SP1 and try our new Sample Browser.
If you want to create a module that has its own database table which is independent from the Sitefinity best-practices modules, you can check Josh Morale's blog post on Creating Page-Based Module
Please let me know if you have further questions related to our module development. We are constantly introducing improvements of the way custom modules are built, and I hope that with our Q2 release you will experience our efforts in delivering custom modules much faster.
the Telerik team
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