First download HSQL (Hypersonic) database from http://hsqldb.org. Next run it in server mode (run bin/runServer.bat). Btw HSQL is a Java database, which means that in order to run it you must have Java installed.
In order to connect to this database in Eclipse you must have Eclipse for Java EE developers (or installed plugin Web Tools Platform - WTP).
Switch to Database development perspective and follow my instructions.