1. Log into cPanel
2. Click on MySQL Database Wizard and add a new database + db user. Make sure you copy/paste what password you use (I recommend just using the random password generator it provides) because you'll need to provide it later. Make sure the db user has all privileges to the database you created.
3. Follow the xenForo install instructions, using the database name, username, and password you just created where applicable. The MySQL server name will be "localhost"