Database Wizard
To open a previously created database or create a new one click File|Database Wizard in main menu. On the first page of Wizard you select action to perform: open or create. On the second step specify database type to use. On the next step provide settings for database. If you create a new database on SQL server check Create schema only option if you don't need or don't have permissions to create database itself (SQL command Create Database won't be executed). If you have any database open in RegKeeper and create new database using Wizard you can import data from current database into the newly created. On the last page of Wizard just select tables from current database that you wish to import.
The same database will be opened next time you start RegKeeper.