This sounds like you haven't created a new database. The database must exist before you start. The software is asking how to connect to it, not what database to create.
1. Create an empty database on your web server. Assign a user permissions to access the new database. Write down the exact name of the database (some hosts will add a prefix to the name you give it), the user name, the user password.
2. Use the connection information you wrote down to connect to the new database using whatever program you want.
3. Run the sql script to add the tables to the new database.
Once you confirm that you have a new database, have successfully added all of the tables from the sql script, and the program can connect to the new database, then they can help you with coding issues.
I think a lot of the confusion comes from us not knowing where you are in the process.
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