I am mighty impressed with the database of Chessmaster Grandmaster, but can someone tell me how I can utilize it? I believe Chessmaster to be one of the best games of Ubisoft.

Page 48 of the User's Manual gives a very brief overview of the database... that's a good starting point.

You can do all sorts of searches on the database, including searches on Players, Dates, and Sites, as well as opening and positional searches. You can also send games from the database into Training mode in order to study them better.

One of the things I really like (which the manual doesn't tell you) is that you is that you can create your own databases, and import/export games in PGN format... I use this feature a lot.