If you are like me on a shared hosting server chances are your web hosting account has cPanel or some other administration panel through which you can create/delete MySQL databases (DBs)/DB users.
Enter phpMyAdmin to the rescue. It is a nice web interface to control your MySQL DB. Most hosts already provide phpMyAdmin but it's usually out-dated. This is a step-by-step tutorial for installation of phpMyAdmin on your shared hosting space using FTP access. (Shell access fastens the process, but am not covering that here now). You are going to download the needed files on your computer (Windows, I would guess), upload to your UNIX run web host and set everything up.
It's a quick eight step process to get everything up and working, and that's including downloading the package, extracting it, and an optional language change.