RHQ currently does not support the H2 database in production RHQ installations. This is to be considered an experimental feature that was developed mainly to provide a quick and easy installation option for those that want to "test drive" RHQ without having the additional burden of installing an external database just to evaluate RHQ.
There is nothing extra you have to do in order to install the Embedded H2 database. The installer web application will provide you with an option to install it. If you select to use the Embedded H2 database, it will be installed for you without any additional steps needed on your part.