through your host, you should have a site control panel that allows you to create a database and mange it using PHPMyAdmin.
When you create the database, you will need to give it a name. That is what you should for the database name in the connection.
when you manage the database in PHPMyAdmin, the top left corner of the PHPMyAdmin window will show the host name, followed by the database name. The host name you see in PHPMyAdmin is the MySQL Host you should use in the connection.
if you need further details, contact your host for help on making the database connection.