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my psychic powers aren't working today, so you'll have to explain in detail what you want to setup.
are you wanting to setup a MySQL db on a hosted server? or on your pc at home?
if on hosted server, goto your cpanel, click whatever it is for MySQL databases, and then follow the instructions. create a db, then add a user to that db.
if at home, the instructions are far more long winded as we don't know what system you are using or whether you have even got php or MySQL installed at all.
it's good to note in future that if you require help, provide as much details as possible, otherwise either you will get the wrong help or non at all..
