Assuming you are using SQL Server, you can do it in one of two ways:
1) Create a database in Visual Studio:
http://msdn.microsoft.com/en-us/library/ms233763.aspx[
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2) Create a database in SQL Server Management Studio:
http://msdn.microsoft.com/en-us/library/ms186312.aspx[
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There are other ways, but those are the easy ones.
But first, please sit down and think very carefully about your DB and what tables and data it should contain: an error at this stage can cause you a lot of grief later on!