yes, you do. in your cpanel, you will have a "Mysql" option. it could be an icon and/or text link.
there you create the new db. you will then also have to create a new user and then assign it to that db as having login privs.
so remember the db info. normally, if you create a new db called 'muhaha', the actual db name will be yourloginname_muhaha and the user will likewise be yourloginname_username.
'yourloginname' is the login you use to get into your cpanel.
the password is as you type.. nothing added there..
then lunar also probably gave you info on signup for where the mysql server is. most likely you will be able to get by with 'localhost' (no quotes) for your database server.
give it a whirl
