You have to create the database and tables yourself. The example database login server in the login-config.xml file is merely an example, you can actually name your tables and columns anything you wan provided the select statement returns the correct data. In my case, I reused my Customer table to provide login, and did something different with the roles.
Thinking about it some more, the examples are usually used in the unit tests, you could dig through there to see if there is anything that initializes the database based on the example.
I did not find a org.jboss.security.auth.spi.DatabaseServerLoginModuleTest in the SVN repo. Would you mind having a look in case I missed it?
I think what you are looking for is ./testsuite/src/main/org/jboss/test/security/test/LoginModulesUnitTestCase.java