What's the proper way to set up the sql database? Can you upload an sql db to a server?

You will need to use a MySQL administration tool. Do you have the site hosted, or are you doing it locally (home) ?

It is hosted and I got there another MySQL database working, but it's for something else...
Thanks kind for the attention

If you have access to a control panel (like CPanel), then you will be able to create the database yourself. If you do not have this type of access, you will need to contact your web hosting company and ask them to add the database for you (supply them with the db name, user name and password though).

Back to having a control panel of some sort, just go to the MySQL link, and do 3 things.

1. Create a database
2. Create a user with a user password
3. Grant (full) access rights (priviledges) for the user in step 2 to the db in step 1.

HTH