Log into your Cpanel interface and scroll down to the "Databases" Section. You have a couple options here. If this is your first time doing this, then click on the "MySQL Database Wizard". This will allow you to setup the database as well as the user.

Now name your database

Now create a user and password. Use a secure password! and if you generate one, don't loose it.

Select ALL PRIVILEGES

Thats it! You have created both a database and a user.

Managing your databases

Go back to your Cpanel interface and then to the same "Databases" area. If you want to create only a database, create only a user or link users with databases, you can do all that by clicking the "MySQL Databases" icon.

To actually manage the database tables and run SQL commands, that is done by clicking on the "phpmyadmin" icon. phpmyadmin is very advanced so I would not suggest poking around in there if you don't know what you are doing. We will have some phpmyadmin tutorials up soon.