I think the line in the first steps tutorial which is causing you confusion is below.
ObjectContainer db=Db4o.openFile(Util.DB4OFILENAME);
Just replace the call to Util.DB40FILENAME with an actual filename, for example Db4o.openFile("MyDatabase.yap"). Then as it says in the tutorial Db4o will look for this file in the current directory and if it does not find it, Db4o will create it. All your objects are then stored in this file i.e. this file is your database. Its that simple!
Good luck and enjoy.
Graham