When using the DB connector, please have a look at: https://docs.mendix.com/appstore/connectors/database-connector/#32-executing-callable-statements
If you want to use the database for the mendix application, please check the https://docs.mendix.com/refguide/configuration/#database
In the project setting, you can see the configuration where default configuration with inbuild HSQL database. You can configure your own data base configuration using selected supported database type.
Please find the screen shot for project settings