Why do I need a target for database connectin in

Ok, I have read through a few pages on database connections. I am not understanding the link between a target and database connection. The database target is independent of my local computer or FTP/SFTP site. Not understanding this relationship prevents me establishing a database in server connect. My site files are saved locally in the project so I don’t need to upload anything. I appreciate any direction as I am missing the obvious. I will keeping thumbing through the docs.

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