The DB prerequisites are specified in the CoreSat_GSG_Concepts.pdf guide that is included in your HPCA media. On page 23 there is a section called "Create the HPCA Database"
After you install HPCA and during the "HPCA first time wizard", you will be asked for the ODBC connection to your db. If not created, it will be create on your behalf, you just need to know your credentials.
If you find any issues, please open a support case and HP Support will be happy to help you.