You can find where you database is located by holding down the CMD key and clicking on the database name/title at the top of the main window (you can easily select its parent folder to have it shown in the Finder).
If sounds like you are running into the problem where the Z-Stick sends bad/corrupt information to Indigo, causing Indigo to disable the communication for those devices. There are a few threads about it, but
here is one with a script to re-enable all the devices. The next release of Indigo is going to try to workaround the problem better, and hopefully avoid disabling communication with devices.