Like Tim says, check your ISP to see if you have the right at all to create your own DB.
Usually, a user is given one database with which you can play.
Use an SQL statement to create a table instead, "CREATE TABLE [table_name]..."
If however, you should be able to create your own DB:
either one of those two should work:
mysql_connect("localhost", "your_given_login", "your_given_password");
or:
mysql_connect ("", "your_given_login", "your_given_password");
To be sure you could add this line directly below the thing that fails:
echo "<p>" . mysql_error() . "</p>";
This will tell you (perhaps) in more detail what is wrong.