Forum Moderators: mack
if your hosting provider says the hosting package includes mySQL, then you do not need to install it.
if you need to add existing mysql data (i.e. a file with table records you already have), then you need to do this throguh SSH or (if your host provides it) phpmyadmin. To do this via SSH, refer to the mysql referecen manual on the web. phpmyadmin is a web interface that would probaly be the best route for you to do the previously mentioned.
Your best bet would be to contact your web host directly and ask then to provide you with instructions on how to access Mysql on your account.
Welcome to WebmasterWorld.
Mack.