So I am going to use DB2 Enterprise Server that is provided as part of the Connections license. You can install this on the same server as your WAS for a small site however I am going to install onto a separate server.
Now note that the Software Requirements tell us we need either DB2 9.1 FP6 or 9.5 FP3. So once again we go to Fix Central and download the fix pack. Interestingly (as CuriousMitch points out) it seems the FP3 appears to be a full install rather than a fix so I have downloaded this and will start with this.
IBM Db2 Enterprise Server Edn V9.5 for Windows Fix Pack 3 - Download here
Installing DB2 Enterprise Server & Registering the license
The actual install is pretty straight forward so just follow the prompts and choose the options you want for your environment.
Once installed you can either follow the instructions here to install the DB2 restricted license key or you can use the License Centre.
Using the Database Wizard to create the Lotus Connections Database
Next we create a dedicated user for Lotus Connection, lcuser - Doco Here . This user us used by the Lotus Connections database wizard to create all of the databases required.
Once that is all ready make sure the DB2 instance is running (should be set to run as a service already) and run the db wizard - dbWizard.bat (extracted from the 2 of 12 file in downloads). This wizard will run for a while as it creates all of the databases needed for the Connections services. We are only having one DB2 server instance at this point but you can choose to install the databases on separate servers for scaling reasons if needed.
So that is the Database ready to go. Next we will install Tivoli Directory Integrator and populate the Profiles database.