RyOn you would have to install a MySQL (or other Database software) on your computer.
I recommend you use XAMPP which includes phpMyAdmin
http://www.apachefriends.org/en/xampp-windows.html
You can create your database and all the tables in phpMyAdmin, on your local computer, then export it with phpMyAdmin, and run the .sql scripts on your server, and your tables will be copied into your host's database.