Your question is not that clear. You may use any of the available open-source db servers like MySQL, PostGRESQL to create your database.
MySQL gives good performance. Or you may use commercial db servers like
SQL Server, Oracle etc. Or latest in the arena is post-relational db server called Intersystems Cache db server which is extremely fast.
You need to install the db server in your local machine or you need to hire space in hosting server. Then,create a db and then tables. You should assign privilege to users to work with your db.
For performance, you may create indices on search keys, optimize tables.
http://www.ravishakya.com