setting database up once site is finished

The hosing company advised me to export the file using phpmyadmin and then import from
phpmyadmin in the cPanel even though the WA video tutorial i watched demonstrates how to transfer the database by selecting backup. Perhaps you can do either of these and it's ok, i don't know? Any way i exported the file and saved it in my documents folder and then i attempted to import from the cPanel but i got the following message.

CREATE TABLE `agecategory` (
`ItemAgeID` INT( 10 ) NOT NULL AUTO_INCREMENT COMMENT 'Unique ID for age range',
`ItemAgeName` VARCHAR( 50 ) DEFAULT NULL COMMENT 'Age range',
PRIMARY KEY ( `ItemAgeID` ) ,
KEY `AgeID` ( `ItemAgeID` )
) ENGINE = INNODB DEFAULT CHARSET = latin1 ROW_FORMAT = COMPACT AUTO_INCREMENT =5;


MySQL said:
#1046 - No database selected

Any ideas what this means or what i'm doing wrong. If you could just point me in the right direction that would be great.