where does the database created in spark go?
Where is this database created?

A powerful paradigm in modern data storage and processing is the separation of compute and storage. Building systems with decoupled compute and storage has benefits associated with scalability, availability, and cost.
Apache Spark loads and performs computation on the data - it is a distributed data processing engine. It does not handle permanent storage. In Databricks (you are using databricks documentation) data is often stored in Delta Lake, which is specifically designed to work with Spark. However, Spark can work with data stored in many other ways, such as other cloud storage (eg Amazon S3, Azure Blob), traditional SQL databases, NoSQL databases, HDFS and many more.