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', '');
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