I found this very good video on how to create a MySQL database for your WordPress blog. The video walks you through the setup of your database and how to add a user to it.

Then it goes into the setting up of your config.php file and what you have to do to upload your WordPress software to the server.

I know many new bloggers who first buy their own hosting="http://gobala.linktrackr.com/sharedhost-bs:keywords">hosting are confused about this whole system. The guy in the video really did a great job of explaining how you can do this.

Check it out.