Hi Ferreira,
If you're trying to set up the integration in your local environment, please follow the steps below:
Install the latest versions of PostgreSQL and pgAdmin.
Open pgAdmin, create a new server, and then create the required database.
In your Mendix application, go to Settings and add a new configuration pointing to the database you created.
If you're attempting to integrate with an external database, please refer to the link below
https://medium.com/mendix/my-journey-with-db-connector-in-mendix-postgresql-8d76dd2e2a05