1) Set the environment variables (need to use cygwin if using Windows) as stated here http://jena.apache.org/documentation/sdb/quickstart.html
2) Edit the file $SDBROOT/Store/sdb-mysql-innodb.ttl according to the needs, rename it to sdb.ttl and place it in $SDBROOT/bin
3) Run the command $SDBROOT/bin/sdbconfig --sdb=sdb.ttl --create