...not at my PC at the mo...
Posting via a phone/tablet? :p
Ctrl-O (Edit, Options), General tab, Database Options. Use the + button to add/create a new database.
Note that creating/adding just makes a new blank database, BC itself will not copy/move an existing one. You have to do that manually in Windows Explorer etc.
On my old PC I had installed the Empty World Map ... but fails with several "Error: Access denied" messages.
I thought I tried selecting "Database", but was not fruitful.