Open a new Writer document.
Open Edit > Exchange Database.
Choose "Browse" in the dialogue.
Choose any file, for example a Calc-file.
You could choose also a table and set "Define" or try without.
You will never be asked for a name for the created database-file.
You will never be asked for a path to save this file.
If you don't try to choose a *.odb-file it will create a new *.odb-file in the main documents folder defined in Tools > Options ...