Neo4j's Data Knowledge Graph was built by Harry Corfield, Senior Data Architect at Telstra, to address the challenge of finding and connecting data across various silos. The project used Neo4j Graph Database to develop a knowledge graph that could bring together different data sources and pieces of information, enabling users to find things more easily. Harry learned Neo4j quickly by taking the company's free Graph Academy courses and certifications, which allowed him to build the tool from scratch in just one week. He also found it useful to import CSV data into Neo4j, create constraints and indexes, display nodes and relationships, and utilize resources like Neo4j documentation, community forums, and Stack Overflow. Harry recommends starting small with a one-week sprint project, showcasing features to gather feedback, and incorporating user requests into the knowledge graph.