Believe me, it will make your life infinitely easier in the long run. A new database has several important uses. Being able to create a new database and copy games into it is a pretty handy tool. This is a standard Windows box, the same as you'd see in a word processor, a graphics program, or in a Web browser when you're downloading something from the Interrant. Contrary to what some folks believe, you do not have to keep all of your databases in the same folder as your Fritz program.
Databases can be in any folder on any drive.
Therefore, if you have ChessBase , Fritz , Nimzo , and Junior , you do are not required to have the identical database in four separate places on your hard drive. One will do nicely. One the file selector appears, you use it to select the folder where you want the database to be stored. You'll obviously want to change this to something a bit more relevant. The .CBH format is the only one that lets you use all of Fritz' features, so use this format unless you have a specific reason for doing otherwise.