Manually create a MySQL database?

I’m trying to set up a WP blog for a client on their server. However, I can’t create a database for WP to use. In their poor excuse for a control panel, I have no options for “creating a new database” or any other feature that allows me to do this. I only have MySQL documentation. That’s it. The hosting company tech support tells me that they don’t offer any kind of anything, so I’m left to my own devices. There’s no my MyPhP Admin installed or any other kind of configuration software. I tried downloading the former and installing it, but it’s over my head.

Anyone have a simple way to create a database so I can get this running? Can’t I just create a file and throw it on the server?