You can just connect to an SQL server and pass a database name and the server will generate the required database and database structure for you.
Here are some screenshots of how to enter the database connection information if you are using MS SQL Server as the backend database.
In the Modeler:
In the Windows Service Console:
Are you able to provide an example of how this is done please? I wish to create a Mendix project which uses an MS SQL Svr db. The connection parameters for this DB is:-
How do I set this up in Mendix as I cannot find a way to do it?