The "files" are the files. That simple. When you download the WP ZIP file on here, it contains all of the files that WordPress uses to run.
The database is a different thing. Think of it as a "lirbary". It has all of the sites data (pages, posts, menus, settings, etc) all stored in an easy-to-retrieve archive that can be access by the files. You need to create the database when you do an installation, and the installation process populates the database with the tabes and data that it needs. Databases are normally kept outside of your hosting account and the files are not accessible through the normal file manager area. This is because the database files are not human-readable and should not be edited by hand. If you tried to do this you'd break everything really quickly.
They are two very different things.