Every other SQL Server walkthrough says I have to install "the Northwind sample database" and then connect to it. I find it ridiculous - I'd rather create a new empty database and then populate it.
What's so magic in that database? Why can't I create my own database? How do I create my own database instead of using "the Northwind sample database"?
Of course you can use your own database if you want. You'll just need to adapt the walkthrough to use your schema rather than the Northwind one.
There's nothing magic about Northwind, it's just a common and readily available database so that the focus of whatever is referencing it doesn't get tied up in designing a database to use and populating it with data.
You can find a walkthrough for creating your own database here.