First of all,do you have MySQL running on a remote server or did you install it locally on your machine?
Second, you will mostlikley have to log into the MySQL server using the command line to create a new database. The database file that you are talking about it most likley a text file that has the database definitions in it.
Try This, open the database file in a text editor like bbedit. It should look something like this...
CREATE DATABASE COUNTER_DATABASE;
CREATE TABLE counter (
id int(10) NOT NULL auto_increment,
page varchar(25) NOT NULL default '',
date varchar(30) NOT NULL default '',
ip varchar(25) NOT NULL default '',
login_name varchar(25) NOT NULL default '0',
KEY id (id)
) TYPE=MyISAM;
it might be longer or shorter and everything will be named slightly different but you get the gist...
This is a SQL statement that you send to the server telling it to create a table "counter" in a database "COUNTER_DATABASE".
I know it sounds compled but its pretty straight forward.
Heres what you will need to do to use the text from your file to build the databsae you need. (assuming you are running MySQL localy on your machine.)
1) open a terminal window
2) type "mysql -u username -p" hit return, (replace username with whatever username you have for the database)
3) it will prompt you for a password, enter it and then hit return.
4) you should see something like this "mysql>"
5) open the file with your database info in it and copy everything thats in there.
6) paste it into the terminal window and hit return
7) if everything goes as planned you should see something like "mysql> 0 rows returned" or something to that effect (no errors basicaly)
8) your all done
if you need help setting up MySQL on OSX check out this site. Its awesome..
http://www.entropy.ch/software/macosx/mysql/
Also, be sure to check out
www.mysql.com if you need any specific help with mysql. Their documentation area has a very nice searchable area that is usually very helpful.
Hope that helps even a little.