These are where database tables are actually kept in files on a server, and, yes, they are kept somewhere. There is a folder structure that holds data files. The default is PRIMARY but you may change this setting. I remember when I first starting using mySQL databases in lieu of Microsoft Access databases what a big adjustment it was to think of a database as a thing running out there somewhere of which I didn't have to pay attention for an actual file, but MySQL did use files that I never saw and so too does SQL Server.
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