You will need to create the database before you try to install. Depending on your hosting provider there should be something like a MySQL database wizard which will walk you through the steps of creating the database and then creating a user (and password) that has permissions to that database. Once you have all of that, you will need to contact your hosting provider as to your server name. Most of the time it is localhost, but I would check to make sure.
I am not a DB expert, however, this is what I did for my testing server and it worked. If you are using WAMP, go to phpMyAdmin page. Select the privileges tab at the top. Select one of the accounts that has "ALL PRIVILEGES". Edit by selecting the icon under the "ACTION" column. At the bottom of the edit page you can create new login information. Select Go and a new user will be created. Now you have user and password information for your setup. Server is localhost usually. And the database name will be whatever you decide to call it when you make a NEW database.
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