Yes, create your database first, it doesn't matter what you call it, and then paste the database code into the SQL tab.
After that don't forget to fill in the relevant fields in the localhost.php file with your database name, username, and password.
Importantly, when you finally upload to your server, you will most likely have a new database name as supplied by your host, so don't forget to change the localhost.php file to the new database details.