If you have database system administrator rights, the menue item Connection ->
Create database ... is available, where you may create a new database for
your client. A similar option is available if you connect to a database server that does not have any fitting databases and
you are using a windows login with sufficient rights. In this case the button
will be shown after clicking Connect to server in the connection window (see image below).
After clicking the button, you will be asked to
enter the database name (see image below).
The database files will be created in the default database directory of the Microsoft SQL Server. Afterwards the database update form will be opened to install all required database objects (see image below).
Click on button Start update 
to complete
the installation. After creating the new database you should check the login administration
to make it it accessible to other users.