You need to tell DB where SRB2.SRB is, so it can load textures and palettes and so on. In some circumstances it will prompt you to show it where it is, but otherwise you can set it on your own initiative by choosing the Files tab from the Configuration dialogue, which you can access from the Tools menu. There you'll find a list of all installed game configurations -- just one by default in SRB2DB -- for each of which you can set the corresponding IWAD.