A database is a storage location for all your chess games (or those of other players you find interesting). Here you can analyse, study, annotate and work with them. Databases in Lucas Chess are found under "Tools / Databases".
To create a new database, use "Tools / Databases / Maintenance / Create a new database":
Once you have created the database, you can open it and select "Import" to add your games. On both Lichess and Chess.com you have the ability to export some or all of your games as PGN files. Lucas Chess can read and import games from these files very quickly.
Now that you have games in your database, you can either double click and open individual games or you can select multiple games at once to perform a Mass analysis. This let's you also create custom trainings based on your mistakes which is a great way to improve your chess.