The first step is to set up the database in SQL Server, once this is done, you will need to have the database name, the owner, the username and the password to connect to it.

Next you need to set up the data source by going to Control Panel | Administrative Tools | Data Sources and adding a new System DSN (second tab along) with the database details and username/password.

Then go to Start | Programs | Silk | SilkTest | Administrative Tools | Database Maintenance.

This will open a new window - Select File | New Database | SQL Server.  Browse for the data source and add in the database details.  Click create.  Then click on the Unlock Records button.

Now, when you go to SilkTest Workbench to open it, in the 'logon' window you should be able to select the database from the drop down and open Workbench successfully.