To be honest I don't know for sure, whether there should be a bundled database. Application Server bundles derby, that's what I know for sure.
As for connecting to a new database.. Switch to the Runtime view, Expand the Databases/Drivers nodes. Ether select a registered JDBC driver of your choice and right click -> Connect Using..., or right-click Drivers and choose Add Driver. Point the IDE to the JDBC driver for your database and then refer to the instructions above.