For the game to load the default database automatically, it needs to be saved in:
C

Program Files\Sports Interactive\Football Manager 2006\data\db (
This is the default install location).
If you want to have multiple databases, then I recommend that you put your databases in the following location:
C

Documents and Settings\
<USER NAME>\My Documents\Sports Interactive\Football Manager\db
The db doesn't exist by default (SI really should think about changing this) so you need to create it if it's not there.
Secondly, copy your existing db (preferably your backup) from the data\db directory in the FM 2006 install directory to a new directory in My Documents (lets call it db\Default). Then you can pass command line arguments telling the game to open your default directory. That or you can download my utility and it'll make it ten times easier for you.