If you want to use the existing database tables in your project then forget about AutoGenerating Entities without using the designer wizard which pops up when .EDMX file is added to the project.
So if you choose an empty .EDMX file, then right click on the designer and click on Update model from database so that you can choose the required tables and stored procedures when needed.
Below i had explained how to create entities and there is a site for beginners, if needed go through it http://www.entityframeworktutorial.net/
You can have multiple modeling techniques using Entity Framework 4.1 like code first, model first or database first.
Code First ------------ Model First ------- Database first
CODE FIRST -http://blogs.msdn.com/b/adonet/archive/2009/06/22/feature-ctp-walkthrough-code-only-for-the-entity-framework.aspx
In Code First approach, you avoid working with visual model designer (EDMX) completely. You write your POCO classes first and then create database from these POCO classes. Developers who follow the path of Domain-Driven Design (DDD) principles prefer to begin by coding their classes first and then generating the database required to persist their data.
One important thing to understand is that there are two new types introduced for Code First approach, DbContext and DbSet. DbContext is a simplified alternative to ObjectContext and is the primary object for interacting with a database using a specific model. DbSet(Of TEntity) is a simplified alternative to ObjectSet(Of TEntity) and is used to perform CRUD operations against a specific type from the model in Code First approach.
In Model First approach, you create Entities, relationships, and inheritance hierarchies directly on the design surface of EDMX. So in Model First approach, when you add ADO.NET Entity Data Model, you should select ‘Empty Model’ instead of ‘Generate from database’.
After creating required entities, associations and inheritance on design surface of the empty model, you can use designer’s context menu option ‘Generate database from model’. However don’t get confused with name. it will not generate new database from model. It will only give you DDL to execute in existing database.
We have seen this approach in our first EDM sample where we created model and classes from existing database. So when you generate EDMX from existing database then it is a Database First approach.