Depending on whether or not you have cPanel or another administrative connection you will have to use PHPMyAdmin or MySQL command line:

If you use cPanel, here is a tutorial on creating a database and user:
http://teamtutorials.com/web-development-tutorials/create-mysql-databse-with-cpanel-and-phpmyadmin

If you are using MySQL command line:
Create User:
http://dev.mysql.com/doc/refman/5.1/en/create-user.html

Create Database
http://dev.mysql.com/doc/refman/5.0/en/create-database.html

Once these are accomplished, you will enter the information into the MH2 Treasury Configuration and apply it.  Once the Treasury has connection and access to the database, then you can click on the create tables.  Please make sure that you grant ALL access to the database for the created user.

You cannot with the shoutbox, the reason is that it requires access to the users table in order to maintain the ability to ban people.