I am using HSQLDB in the embedded mode.
jdbc:hsqldb:file:abc\\\\TESTDB;
After creating the database, the folder abc
has the follow
.script contains all the statements to create the tables, alter them and insert the data. This file is created when you use hsqldb in memory. (so I'd say this is your database) Otherwise the database is stored in .data as other people already said
.lck is the lock file by which hsqldb knows whether the database is locked by a process. Usually you have this file only while your program is running and it is automatically deleted when you stop the programm.
.log contains internal log statements of running transactions for example and some commit or rollback points.
.properties contains the properties with which hsqldb is initialized (better don't change anything there if you don't know what you are doing). This is not to be confused with and persistence unit configuration.
kind regards