What he is trying to say - and lacks the communication skills to do is - does your webhost even offer MySQL databases to its customers? It seems that many webhosts, if they offer the service only allow you to access it through a web interface like PHPMyAdmin or something like it. You don't get a telnet/shell access and don't need it. You do all your uploading and setup via a webpage.
Please confirm with your webhost that you have MySQL privledges, and if so - ask how to go about it. That's what tech support is for at webhosting places.
-Eric-