wpdb is the class that helps you to manipulate the database in WordPress. But you can not access it directly, you have to use the global object $wpdb to manipulate the database. The Database configuration is stored in wp-config.php during installation process. Highlighted like this
/** The name of the database for WordPress */
define('DB_NAME', 'database_name_here');
/** MySQL database username */
define('DB_USER', 'username_here');
/** MySQL database password */
define('DB_PASSWORD', 'password_here');
/** MySQL hostname */
define('DB_HOST', 'localhost');
/** Database Charset to use in creating database tables. */
define('DB_CHARSET', 'utf8');
/** The Database Collate type. Don't change this if in doubt. */
define('DB_COLLATE', '');
How to add another Database?
$wpdb object is reserved with the default Database configuration, So if we required to access another Database in WordPress then simply add the Database information in the wpdb class.
$DB_USER = ""; $DB_PASSWORD = ""; $DB_NAME = ""; $DB_HOST = ""; $newdb = new wpdb($DB_USER, $DB_PASSWORD, $DB_NAME, $DB_HOST);
With this you have successfully established a new Database connection and the same WordPress query works with your newly created Object. You can on errors echoing with $wpdb->show_errors() or if you want to print the error(If any) by the most recent query with $wpdb->print_error().