I believe that the record database will be created automatically when you connect a hard drive or when you choose to store the data on a new HDD. I did actually install the software on my PC and checked its settings menu, but that was pretty much about it. I've looked in the installation folder with hope to find something but there were no files.
If you have the possibility, go to About section of the software and get in touch with the developers of MyNVR.
