You can use telnet, or if you have mysql installed on your own computer, you can use that. The key thing is that you have to log in to the mysql client. From there the command is easy:
create database database_name;
To log into the client, use the following if using telnet:
mysql -uuser -ppassword
Or, from your own computer:
mysql -hwww.yourdomain.com -uuser -ppassword
If those don't work, explain what error you get and someone call help you further.
A second option to try can be used from outside of the client, it depends on your access though.
mysqladmin -uuser -ppassword create database_name
mysqladmin -hwww.yourdomain.com -uuser -ppassword create database_name
Haven't tried it the second way, but as long as your permissions are right, then it should work.
One last thing, if this isn't your server, you usually don't have access to create databases. The server administrator creates a database for you and gives you a login and password. Then within that database, you can create as many tables as you want...that's how it usually works.
Ok...I'm done.
---John Holmes...