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
2) Create a database in SQL Server Management Studio: http://msdn.microsoft.com/en-us/library/ms186312.aspx
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!