You need to have a cell array, unless you use sprintf('%3.3d') to create your string in which case you can use a character array like you're trying.
dataBase(i) = {sprintf('Images/Database/%d.jpg', i)};
That creates a cell - the i'th cell of database - where the contents of the cell are the filename string. Please read this: http://matlab.wikia.com/wiki/FAQ#What_is_a_cell_array.3F
Like I said you might be able to create a character array if you use 3.3d to ensure that all strings are the same length and thus the character array will be perfectly rectangular.
dataBase(i, :) = sprintf('Images/Database/%3.3d.jpg', i);
I did not test the above line of code. Also, to use it you'd definitely need to preallocate an array with the right number of columns
database = zeros(500, 23);
