Data file is an file which store all object and data of a database.
There are two type of data file: Primary data file and Secondary data file.

Primary data file is a one and only one data file for storing all objects and data of a database. It is a default data file for database. It’s file extension is “XXX.MDF”

Secondary data file is created when required. it’s file extension is “XXX.NDF”

How to check current data file setting:
1. Right-click suitable database object > select Properties
2. Select “File” page > View “Database files:”
3. “File Name” & “Path” show data file’s file name and its path.

How to create “Secondary data file” via GUI:
1. Right-click suitable database object > select Properties
2. Select “File” page > click “Add”
3. Fill in “Logical Name” and “File Name”
4. Change “Path” if need

How to remove “Secondary data file” via GUI:
1. Right-click suitable database object > select Properties
2. Select “File” page > click “Remove”

How to create “Secondary data file” via T-SQL:

--Add new secondary file named "test_1_file" at "<span class="hljs-string">C:\Program Files\Microsoft SQL Server\MSSQL10_50.MSSQLSERVER\MSSQL\DATA"
ALTER DATABASE AdventureWorks2016
ADD FILE
(
NAME = test_1_file,
FILENAME = 'C:\New_Path\test_1_file.ndf'
)

How to remove “Secondary data file” via T-SQL:

ALTER DATABASE AdventureWorks2016 REMOVE FILE test_1_file;

How to move user database’s file via T-SQL:

-- Bring database "AdventureWorks2016" offline
ALTER DATABASE AdventureWorks2016 SET OFFLINE;
-- Move "AdventureWorks2016_Data.mdf" to new path "C:\New_Path"
EXEC xp_cmdshell 'move "C:\Program Files\Microsoft SQL Server\MSSQL13.MSSQLSERVER\MSSQL\DATA\AdventureWorks2016_Data.mdf" "C:\New_Path"'
-- Update system catalog
ALTER DATABASE AdventureWorks2016 MODIFY FILE ( NAME = AdventureWorks2016_Data, FILENAME = 'C:\New_Path\AdventureWorks2016_Data.mdf' );
-- Bring database "AdventureWorks2016" online
ALTER DATABASE AdventureWorks2016 SET ONLINE;