Hi @JonathanEnsz !
Welcome to the ProcessWire forums! Where are you setting up your website? Are you using a hosting service? Maybe locally?
In any chance, a database is the part of your setup that in combination with ProcessWire makes it all work. A MYSQL database is a whole other software that commonly runs along PHP applications such as ProcessWire to persist data.
In more concrete terms, you have to:
Create a database. Most commonly through a tool in the panel administration of your server, or through an application that understands the databases like phpmyadmin.
Create a database user/asign it to the database. A database must have a user with the right permissions to add data, update data, etc. If you reach a screen where you have to set permissions, just allow them all.
Identify the host of the database. Most of the time, this is localhost (like literally you will write this on the ProcessWire installation screen). Some other times, the host has a special url address.
ProcessWire will use the database user, the database name and the database password to connect to the database at a certain host and after that it creates it's minimum set of data for it to work.