How do i set up a DB.php?
or just any database?

DB.php is a file that comes from a PHP module called PEAR. Zymic doesn't have this installed on their servers, so i'm afraid you'll have to find another way around whatever your problem is.

You wouldn't happen to be referring to the Member Registration tutorial would you? If you are you can google for other tutorials similar to that, that Don't use PEAR.