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To specufy the current database, use USE followed by the
name of the database.
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To visually select a database click the arrow of the combo box and select the desired database:

To programmatically specify the current database, in a
Query window or at the Command Prompt (including PowerShell), type the
USE keyword followed by the name of the database. The formula to use
is:
USE DatabaseName;
Here is an example:
USE GovernmentStatistics;