For setting up a MySQL database it is simple.
Go to your hosting control panel. Add/Create a new database.
Add/create a new user for database with a password.
Add this user to the newly created database.
Go to phpMyAdmin and import the .sql file that you have got with the script.
For PHP it is also simple. Go to File manager in hosting control panel or open up your FTP.
Upload the files in some folder called public_html or httpdocs etc.
Find some file called config.php or settings.php or database.php and edit the settings in it to reflect your database settings.
Mostly you are done with it.