Use the DBMS of choice to create a new database. Note its name and location, you will need it to create a Data Source.
Make sure that the account that will be running the ITP/MDK Repository Server has owner rights on this database. This is necessary for the ITP/MDK Repository to be able to configure it. Also it might be a good idea, to prevent connection errors when the ITP/MDK Repository is in use, to set the password of the account used to never expire.
The next step is to create the DSN.