The database file is a file on your computer that ends in .kdbx. You need to create it yourself because it is the file that contains all of your passwords and is accessed by a password that only you know.
When you open KeePass there is a “new” icon in the very top left of the toolbar. Click that and you can then create your database. I’d recommend starting with just the “password” option in the master key setup - you can always add multi-factor authentication at a later date once you’ve got a better understanding of how everything fits together.
I did have a neater way to guide new users through that new database procedure and I thought it was at least still partially working but it’s definitely something that Kee can’t have as much control over since Firefox made a lot of changes in Firefox 57. Perhaps I can at least improve some of the documentation on this forum though.
Let me know how you get on.