you would choose the database in control panel when you create the database. so it will normally ask for database name which myabe also the username and password.
then once you are logged into the database import your .sql file
if you select say test database that you have in the picture you sent it has tables in it by the looks of it so you would want a blank database.
once in your blank database choose import, browse to the sql file and select go
schema is the setup of mysql database so you do not choose that.