Calling Non default Constructor to a non pointer variable

Question

I am using a library which have the following statement in the example -

SqlDatabase db(DB_FILE_NAME, false);

The constructor is defined as

SqlDatabase(const char* szFile, bool useExclusiveWAL = true );

However I want to make this object as a member variable. Which means I want to separate the definition and declaration separately. I can do it like this -

SqlDatabase* db;
db = new SqlDatabase(DB_FILE_NAME, false);

But what if I don't want to make this a non-pointer variable, just like the example? How would I do it?
For example:

SqlDatabase db; //doesn't work in cpp, since there isn't any default constructor, but I can put it in header
db = SqlDatabase(DB_FILE_NAME, false); //Doesn't work

PS: I am sure this is too basic, but I'd still like to know this. I have searched SO, but dunno what this kind of statements are called.

Update:
I've just checked the linked question, but I didn't get any link between what I asked and that member initialization list. I just want the declaration in header and a separate definition in cpp. I don't think this has been answered in the linked question.

@MikeSeymour: _"However I want to make this object as a member variable."_ — Lightness Races in Orbit, Dec 04 '14 at 14:24
@MikeSeymour From the question: *However I want to make this object as a member variable.* — Borgleader, Dec 04 '14 at 14:24
@LightnessRacesinOrbit: Indeed, my reading comprehension sems to be failing. Sorry for the inconvenience. — Mike Seymour, Dec 04 '14 at 14:24
@Borgleader: It's completely self-evident that the commenting feature is not for answers and that you are promoting a "chat room" or "forum" style approach to Stack Overflow, which is bad. But if you really need documentation, [here it is](http://meta.stackoverflow.com/q/253045/560648). — Lightness Races in Orbit, Dec 04 '14 at 14:40
_"I didn't get any link between what I asked and that member initialization list"_ Then read it again. — Lightness Races in Orbit, Dec 04 '14 at 14:41
_"I just want the declaration in header and a separate definition in cpp"_ Just because "the marked question" doesn't teach you every single facet of C++ doesn't mean it doesn't answer your question. The answer is _use the member initialisation list_. Now once you've done that, recall that you can define a constructor elsewhere from its declaration, and you're good to go. Which C++ book are you using? — Lightness Races in Orbit, Dec 04 '14 at 14:42
I never read any for C++, that's why I am asking here. Anyways I got the answer from an article. The answers to the linked question are still confusing. Thanks for giving the clue. — 0xC0DED00D, Dec 04 '14 at 15:04

Calling Non default Constructor to a non pointer variable

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