mysql help- My online forum needs access to a dbase. (in Off-topic)

I am trying to setup a phpbb forum on my website. The only problem I am having (so far) is getting a database linked to the forum. The setup section of the forum requires this information:

Database Server Hostname / DSN:
Your Database Name:
Database Username:
Database Password:
Prefix for tables in database:

They suggest mysql as a dbase, so I downloaded ver 4.x . Now.. I may be way over my head because the next question will probably throw you.

Where do I "install" the mysql files? I'm going to guess I ftp it to my server and extract(install) it from there?

I have probably screwed up and might be told "you can't get there from here". But, if I'm close, can anyone give me some help?

What OS are you installing onto? What's your web server?

Something to chew on
MySQL Manual
Installing MySQL

Ah, ok. so the DB is something that is on the server end? I'm with godaddy.com but I will look into my package to see if I have access to a database? I know I have php.

Thanks to a few chatmails, I looked into my hosting package, and I just set my dbase up. It's mysql on their end, so it all appears good. Thanks to all who mailed me.

I had a problem with GoDaddy's hosting service.
the limit the mail() function in PHP, which is essential for some scripts to send email out.
They also limit outgoing emails from php to 50 per day.
This is what I remember, the sum of it was that I was not able to use my desired script on godaddy's servers.
--dnnx