The DB is not connected to the project, which is why you can't find it. Only the parts in the Solution parts of the chapters are relevent to the Beer House site. Marco is presenting an alternative method of database connection to the one he actually uses.
There is a caveat to the above, in terms of procedure. You will need to use SQL Express to create a database at some point. It is not really clear when, but if you're in Chapter 3 it is safe to assume that creating it is a good idea to do it now, or copy the DB from the project files (which I highly suggest).