Create your database in the control panel. Note the settings there including the username and password that you create. You'll specifically need to know the following:
Server name: typically something like sql4.bravehost.com
Database name: something you pick, along with something they assign. *_539234 or something like that where * represents the name you pick, and the rest is a number they assign to you.
Username: something you pick
Password: something you pick.
Once you have that squared away on your control panel, simply insert those values into Drupal's installation script and you should be good to go.
