ArcMap and OpenCycleMap

Hi all,
I am using ArcMap and OpenStreetMap. I really new to ArcMap Desktop and GIS in general so please excuse my ignorance.
It looks like that from File: Add Data: Add BaseMap, you can’t add OpenCycleMap which contains Contour Lines and SRTM only OpenStreetMap. has a link to converted contour lines calculated from SRTM data to OSM
which I want to add as a layer on the OpenStreetMap BaseMap to create the equivalent of the OpenCycleMap.
Is this the right way of doing it?
I downloaded the relevant OSM files but I am having trouble loading it in ArcMap.
In Catalog: OpenStreetMapsToolbox: I clicked “Load OSM File” but I don’t know how to set the “Target Feature Dataset”.
Where is the .gdb file located? Do I need to set up a “Database Connection”??

Many thanks!!

Although ArcMap / ArcGIS for Desktop has some great features, it is also a professional application with a rather steep learning curve in some aspects. I really recommend you to start reading some of the introductory documentation ESRI has on offer, and the comprehensive Help system included with ArcMap.

From the online Help (which is almost fully identical in contents to the Help shipped with the application!), you could start with for example this Help topic, and the other Help topics under the same Desktop / Mapping heading:

A quick tour of ArcMap

For further consultation and questions, I really would like to forward you to the GIS Stack Exchange forums. You are far more likely to get a relevant and good answer there regarding ArcGIS, than here on the OpenStreetMap Forum, simply because all the GIS people are active there and only a tiny fraction here (most of which probably also have QGIS knowledge instead of ArcGIS)…

GIS Stack Exchange

This link may help
OpenStreetMap Tile Servers Online