In SQL Server, databases store their data and objects (such as tables, views, stored procedures, etc) in files. When you create a database using the default options, one data file and one log file are created. However, you’re not restricted to just one of each file. You can add data files (and log files) to a database at a later date if required.
This article contains examples of using T-SQL to add a data file to an existing database in SQL Server.