How to choose working database in DB2?
The concept of a "database" in SQL Server is much closer to a schema in DB2.  An entire MS SQL database engine is much closer to a DB2 database:

master database &lt;======&gt; SYSIBM/SYSCAT schema
msdb   database &lt;======&gt; SYSPROC       schema


It's not a perfect comparison; there are a number of differences:


DB2 does not have an equivalent to the model database.  
tempdb doesn't really map to a schema; its purpose is handled by system temporary tablespace(s) like TEMPSPACE1.  
Each database in MS SQL has separate log files, where DB2 uses a single set of transaction logs for the entire database




Therefore, technically the closest equivalent to MS SQL's USE statement is SET SCHEMA.  Issuing the SET SCHEMA x statement tells DB2 where to look for unqualified objects.

However, it's not a requirement to issue the SET SCHEMA statement if you fully qualify your object names.  The following statements:

set schema x;
select c1, c2 from mytable;


are equivalent to:

select c1, c2 from x.mytable


Using set schema simply allows you to use unqualified objects.