If you are getting your feet wet with Mendix, one good thing to know is that Mendix takes care of everything it needs to take care of with the database. No need for the user or developer to go to the database.
But if you want to export the domain model, there are several ways. Easiest is to go to Project explorer → Settings → Configuration → Database → Type: Microsoft SQL Server and fill out the connection settings to your SQL database.
Then start your app and it will create the database for you.
If you don’t have a SQL-server at hand, try AWS to set one up.