Creating a new database and new connection in Oracle SQL Developer

This tutorial should help you:

Getting Started with Oracle SQL Developer

See the prerequisites:

1. Install Oracle SQL Developer. You already have it.
2. Install the Oracle Database. Download available here.

3. Unlock the HR user. Login to SQL*Plus as the SYS user and execute the following command:

   alter user hr identified by hr account unlock;

4. Download and unzip the sqldev_mngdb.zip file that contains all the files you need to perform this tutorial.

Another version from May 2011: Getting Started with Oracle SQL Developer

For more info check this related question:

How to create a new database after initally installing oracle database 11g Express Edition?