The How To for Importing a .SQL script file provides instructions for two different ways that you can import these files.
The MySQL GUI Tools include the MySQL Query Browser which is commonly used on a local testing server. If you were setting this up locally before moving to your live (Hosting Provider's) site, you may want to use this. Some developers also use this for their live server, but it depends on your Hosting Provider.
PHPMyAdmin is a commonly used interface for managing your database on your Hosting Provider's website. This may not be the case, but your hosting provider will likely provide you with some sort of control panel that is similar to PHPMyAdmin, where you can import the .sql script.
If you are getting hung up on this one step. I suggest you submit a support ticket, and have a support engineer guide you through accomplishing this once. Once you've imported one .sql file to your server, you'll have no trouble importing others.