This probably ought to have been posted in Desktop Technical Support rather than in this forum, but here goes:

If you absolutely have to create a new database, File -> Open Database -> New Database is the way to do it.

However, a new database is usually not the best way to do things. If you care to tell us what you are trying to accomplish, you may just get suggestions how to do it in a better way.

The more obvious way would perhaps be
Collection -> Flags -> Flag All Filtered (with no filter set)
Collection -> Flagged -> Remove From Collection

But creating a new database and then deleting the old one (unless you want to keep it) is also a possible way to do it. If you want to delete the old database, do it using File -> Open Database -> Delete rather than just deleting the files through the file explorer.