All Hosting Masters sites come with free access to a MySQL database, which is setup from the Applications section of your SiteMadeEasy Web Control Panel.
To setup a MySQL database, simply:
More information, documentation, tools, etc., are at the MySQL site.
An excellent free MySQL administration system is phpMyAdmin, which can be installed by entering your mysql password and clicking "Install phpMyAdmin". Note that you need to enable PHP on your site to use phpMyAdmin (simply go into your SiteMadeEasy Web Control Panel, click on Free Scripts, check off PHP4 and click Install Scripts).