Log onto cPanel
Near the bottom of the page, a section labeled Databases
Click on the first item MySQL Databases
If your cPanel username is bruce, your database will be named bruce_yadda , where yadda is the name you chose (this keeps the names separate in a shared environment).
Then, create a user. Easiest if you name it the same as the database. Write the password down.
Finally, add the user to the database, making sure you check the ALL PRIVILEGES box when it comes up.
If you have a MySQL dump from another site, etc, you can import it to the database you have just created by going back to cPanel,
click on phpMyAdmin (near mySQL Databases),
click on your database,
find the Import link
follow instructions.
Your website files go in public_html