You'd normally create a database via PHPMyAdmin or whatever database tool that comes bundled with your hosting account.

If you want to create one via PHP, I'll point you towards the MySQL documentation:

MySQL :: MySQL 5.5 Reference Manual :: 12.1.14 CREATE TABLE Syntax

You can also use MYSQL yog, if you find manula database creation.. MYSQL yog is a GUI for MySql

What format is the data already in? If its in something like an RSS feed you can use RSS2SQL to extract information from an RSS feed and populate an SQL database see RSS2SQL Converts RSS Feeds to Databases

Go to YT and search for "phpacademy"'s channel

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Silver,

There is a big difference between creating a database and creating tables within an existing database. I would be interested to know what you are trying to accomplish.