. When the database will be created, it will be stored in your home directory (/Users/youruser/ on OS X).
You can also specify an absolute path where to store in you h2 database files. For example on Windows OS URL field can be like this:
jdbc:h2:C:/Users/ ... /BlogTutorial
Notice, in the path, *nix like file separator "/" instead of Windows like "\" (as you can read here).
Now, right-click on BlogModel and select New Entity.