Interestingly, I am just learning this stuff too, and only this morning I found a solution to the application name only containing "/". I had the <membership> section in my web.config, but when I set up roles and users using the ASP.NET Configuration tool in VS.NET, this wasn't enough. I copied these other sections from machine.config and added them to my web.config. Make sure to set up your LocalSqlSever "variable" in your web.config, too, unless you want the default one that points to SQL Server 2005 Express as defined in machine.config. Note that since I really don't yet understand all of this, I *SNIP*'ed those PublicKeyToken values, whether or not I need to :)
<membership>
<providers>
<remove name="AspNetSqlMembershipProvider"/>
<add name="AspNetSqlMembershipProvider"
type="System.Web.Security.SqlMembershipProvider, System.Web, Version=2.0.0.0, Culture=neutral, PublicKeyToken=*SNIP*"
connectionStringName="LocalSqlServer"
enablePasswordRetrieval="true"
enablePasswordReset="true"
requiresQuestionAndAnswer="false"
applicationName="usercp"
requiresUniqueEmail="true"
passwordFormat="Clear"
maxInvalidPasswordAttempts="5"
minRequiredPasswordLength="6"
minRequiredNonalphanumericCharacters="0"
passwordAttemptWindow="5"
passwordStrengthRegularExpression="" />
</providers>
</membership>
<profile>
<providers>
<remove name="AspNetSqlProfileProvider"/>
<add name="AspNetSqlProfileProvider"
connectionStringName="LocalSqlServer"
applicationName="usercp"
type="System.Web.Profile.SqlProfileProvider, System.Web, Version=2.0.0.0, Culture=neutral, PublicKeyToken=*SNIP*" />
</providers>
</profile>
<roleManager enabled="true">
<providers>
<remove name="AspNetSqlRoleProvider"/>
<add name="AspNetSqlRoleProvider"
connectionStringName="LocalSqlServer"
applicationName="usercp"
type="System.Web.Security.SqlRoleProvider, System.Web, Version=2.0.0.0, Culture=neutral, PublicKeyToken=*SNIP*" />
<remove name="AspNetWindowsTokenRoleProvider"/>
<add name="AspNetWindowsTokenRoleProvider"
applicationName="usercp"
type="System.Web.Security.WindowsTokenRoleProvider, System.Web, Version=2.0.0.0, Culture=neutral, PublicKeyToken=*SNIP*" />
</providers>
</roleManager>