|Outlook uses a pst file; not a database. By default, when you start Outlook for the first time, a pst is created under your profile. |
If you already have a Mail option in your Control Panel, you can use that and select Data files, then add the pst there, naming it and locating it wherever you wish. (Putting it in the root, or in an Outlook folder.)
Then, when you actually run Outlook, it will point to the pst file that you created.