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the database connection page has nothing to do with the database, but with the database server, which is mosttimes located on the same server as where your files were placed to.
First entry is database type, MySQL.
Then it needs the server IP address or mosttimes localhost will do. And then the database user and password that has access to the database server.
In the Database configuration screen, the database name can be entered. This is an existing database or when not, it will be created (if this is allowed by your hoster).
When you have to create a database manualy by your site admin panel, make sure the user is associaterd with the database and has granted the necessary rights for creating tables etc.