You can connect to your database from within a php script by using the following code:
mysql_connect('localhost','yourdatabaseusername','yourdatabasepassword') or die (mysql_error());
mysql_select_db("yourdatabasename") or die(mysql_error());
You must enter the database name, username and password of a database you have created in order to connect to it. For more information about how to create a database please see the related article: How do I create a Database?