This is how you can achieve.
Creat a folder named like 'xxx.db' (just a blank folder) in root\data\databases.
From Neo4j root folder open 'conf' folder and open neo4j.conf file in Notepad. Update this line: dbms.active_database = xxx.db and 'Save'.
Restart and launch Neo4j. Now you will see a blank database in your 'xxx.db' folder. You are ready to play with your new database. This will be the current active database.
You can switch between databases by editing neo4j.conf file and restarting Neo4j.