No, Data Bridge Can not create the Data Base for you. You would need to create the database first using a MySQL GUI Tool. The most common MySQL GUI Tool is PHPMyAdmin.
If you have installed a local testing server package like XAMPP or MAMP, the start page will have a link to the phpMyAdmin tool that can be used to create the database. Once the database has been created, you would need to create a connection to the database in Dreamweaver.
The David Power Foundation PHP Series of books is a good starting place to become familiar with using PHP / MySQL and Dreamweaver.