As stated above, be first thing to do is contact your hosting provider. You do not need to download mysql gui to your computer, those things will be installed on your hosting providers server.
If your host supports php and mysql, then contact them about how to get it working, and access to phpMyAdmin, which is an online tool to help you manage your mysql databases.
Any hosting provider should be able to answer those questions for you. You may need to change hosts, or plans
It looks like you are hosting through 123-reg.co.uk, and looking through their offerings, it looks like they might only support perl (cgi) scripting. In that case you would need to find a new host. I believe one of the earlier posts suggested a UK host.