Before you go any further with the database you should make sure, that PHP files are parsed. Otherwise PowerCMS will never be able to run.
You probably need to talk to your provider about this. While you're at it, ask, if they can set up a MySQL database for you. You will then get:
- Database address (e.g. localhost)
- Database name (can be anything)
Then ask, how to access phpMyAdmin (it's almost 100% certain, that you can have access to that). When you are in phpMyAdmin just import the SQLfile from PowerCMS.
Once you have these steps accomplished you're almost there...