Maybe your distribution provides the database package.
If not, or if you want a newer version, Octaves pkg command
allows building the package from source and installing it. Note that you
have to load any Octave package before you can use it. See
Octaves documentation of pkg.
In building from source with pkg, some preconditions of the
system are checked, in particular the presence of the pq library
of Postgresql. If you have to install a package of your operating system
with libpq, you usually also need to install the so called
development package (named libpq-dev or similar).