Welcome to Concrete5!!!
Here is a great article on installing Concrete5:
The database is usually made by going to you phpMyAdmin and creating it there. It is a very simple process.
When you open it, click on the databases tab at the top. You should see Create Database. Type in your database name, usually something relevant, such as concrete5 or something like that. Then click the Create button.
Now go back to the installation page and fill it out. The rest of the info you can get from your hosting service provider.
I hope this helps!
Thanks for the link, it helped a lot. If I name my database concrete5, and if I build another site in the future, could I use the same database for both the current one and any others I make, or do I have to make separate databases?
Always use separate databases for you sites.