Thanks for using HDP for Windows. No, you don't need to set up a Derby database first. the Docs for the database section read "By default, Hive and Oozie use an embedded Derby database for its metastore. To use an external database for Hive and Oozie metastores..." Which means if you just want to use Derby no database needs to be set up in advance of the installation. You will still need to provide the username and password that will be used for the database when it is created by the installer, though.