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VDM is capable of connecting to multiple databases when building a View; referred to as Multiple Data Sources or MDS. Prior to creating a View that leverages Multiple Data Sources VoV Joined Datasets, you must setup a local SQL Express installation.
Download Microsoft SQL Server 2017 Express from https://go.microsoft.com/fwlink/?linkid=853017
Complete the steps for a "Basic" installation and accept the defaults.
Record the SQL Express Instance details listed on the installation summary screen as it will be needed to create an Connection Profile:
After the SQL Server 2017 Express installation has been completed successfully, click on Database and select New from the Ribbon Bar. Create a new Microsoft SQL Connection with Prefix Enabled and define the Server, Instance and Database settings. Enable Trusted Connection and test the connection.
Once the profile has been created, tested and verified go to Settings and set MDS SQL Database to the newly created profile.