installation step 3: Where shoukl i create the Database?

I try to install NopCommerce and when i get to step 3, it asks a database name which i created in advance.
Well, I don't know where to create the Database, and when i tried to put the database in the ordinary App_Data folder, it says "Database does not exist!" i also tried to put the database in the main folder but till with no success,

So where do i have to create the Database???     Thank you very much!