You have to make the files with the name I put above the code, and then put the code into the file. Of course, that is a very basic script because I didn't have specifics. If you want it more customized etc let me know.
Yes, you can just upload via FTP.
As for the PHPMyAdmin, sometimes you can't make actualyl create a database with it. Some hosts are different. There should be a support section with a FAQ or something showing how to make a MySQL database.
EDIT: Also make sure you make the necessary changes that I explained.