Does my database need to connect to a server?

I'm very new to SQL and databases. I'm currently following this tutorial for creating a Magento website: https://www.tutorialspoint.com/magento/magento_installation.htm and I'm on Step 4. It says to create a new database for my site (which I'm running on localhost/magento right now). I downloaded MySQLWorkbench for this, and when I click "Create new connection", I put localhost/magento into the "hostname" section. I'm just not sure how I'm supposed to create a database for my specific website, and if it needs to be connected to the URL. Hope somebody can help me out in simple terms :) Thanks.