I\'ve followed the JDBC tutorial at: http://docs.oracle.com/javase/tutorial/jdbc/basics/gettingstarted.html, and managed to build and create my own JDBC database without too
See the "Set DERBY_INSTALL" and "Configure Embedded Derby" section at https://db.apache.org/derby/papers/DerbyTut/install_software.html#derby_configure for details.
Derby is part of the JavaSE installation and I had setup environment variable DERBY_HOME instead of DERBY_INSTALL shown in the link.
C:\> set DERBY_HOME=c:\Program Files\Java\jdk1.8.0_60\db
C:\> set CLASSPATH=%DERBY_INSTALL%\lib\derby.jar;%DERBY_INSTALL%\lib\derbytools.jar;.
C:\> cd %DERBY_INSTALL%\bin
c:\Program Files\Java\jdk1.8.0_60\db\bin> setEmbeddedCP.bat