The database is separate from the program. Depending on the kind of database you are using, it may be in a file (as in an Access database or Excel workbook) or in some sort of logical database server (as in SQL Server, SQL Server Express, or MySQL). That's where the data is stored. You need to use some database product to create the database before you can use it with your program.
For example, suppose a program connects to a SQL Server database and adds some records. Later another program can connect to the same SQL Server database and find the data there.
If a program is using DataSets to store and manipulate information, it must use two methods to load and save the data: Fill and Update. Fill copies data from the database into the DataSet. Update copies any changes back into the database.
A fairly common mistake is to use Fill to load the data but then forget to call Update to save it. You make changes to the data and close the program but the changes are never saved.
I hope that helps. Let me know if that didn't clear things up.