You need to use a java compiler compiler (javacc) to parse the SQL
statements, some of them have examples such as the complete SQL syntax.

then the first thing you need to do is implement CREATE DATABASE

so make a folder for the database in the data dir and there you go..
then implement CREATE TABLE,
you need a file which contains the table metadata (basically what you put as
your parameters to the create table statement)
one with the data, and an index file which points to the start of each
record.

it gets tricky when you have to alter data and make it larger than the space
you have within that field (because you have the next record in the way) so
just re-allocate the data at the end of the file and point the index to it.
You will have to use RandomAccessFile to do this.

the index should be ideally binary with the location in the other file, and
the length of the data.  This is more complex than HSQL works (it just
stores all of the data as SQL statements!) but this method is similar (but
not exactly the same) as the way mysql works.

Another option is to store each record as a single file, but i've seen this
done before and it can be very slow and kills the file system.

This can be a fascinating and interesting part of development, dont be put
off by lack of information in general, managing gigabytes is a good book to
get if you want to learn more about writing a good database system.  I
beleive google wrote their system based on ideas written in this book...and
dont stop there, what about an xml database system? how about a new way of
storing/retrieving information.. go invent!

.

its up to you to store your data. you can use XML