When you click the KRM, and it takes you directly in, you can get to the database selection screen by clicking My Account and then clicking Home:
That will open the Database selection screen where you can change which database you go into by using the drop-down:
You can also set which database appears as your default database by clicking the My Account drop-down and selecting Manage Default DB:
This will change which database is opened by default when you click on KRM.