The Options page allows you to select a database, and to set the location of the directory where you MusicXML files are stored.
The current release of THoTH comes with only one database, but future versions will allow you to create your own databases; at that point, the database option will be of use.
THoTH comes with some MusicXML files in the MusicXML directory beneath the THoTH directory. If you want to create new MusicXML files for THoTH to analyze, you can export them from Finale, Sibelius, Notion, etc., and put them in this directory. Once you have created a MusicXML file for a song and placed it in this directory, edit the song record and add the name of the MusicXML file (without the .XML extension) to the song record, and save the song record. The next time you open that song record in THoTH, the Analysis button will be enabled, and you can use THoTH to analyze the song.