If the administrator creates your database for you when setting up your permissions, you can begin using it. Otherwise, you need to create it yourself:
mysql> CREATE DATABASE menagerie;
        Under Unix, database names are case-sensitive (unlike SQL
        keywords), so you must always refer to your database as
        menagerie, not as
        Menagerie, MENAGERIE, or
        some other variant. This is also true for table names. (Under
        Windows, this restriction does not apply, although you must
        refer to databases and tables using the same lettercase
        throughout a given query. However, for a variety of reasons, the
        recommended best practice is always to use the same lettercase
        that was used when the database was created.)
If you get an error such as ERROR 1044 (42000): Access denied for user 'micah'@'localhost' to database 'menagerie' when attempting to create a database, this means that your user account does not have the necessary privileges to do so. Discuss this with the administrator or see Section 8.2, “Access Control and Account Management”.
        Creating a database does not select it for use; you must do that
        explicitly. To make menagerie the current
        database, use this statement:
      
mysql> USE menagerie
Database changed
        Your database needs to be created only once, but you must select
        it for use each time you begin a mysql
        session. You can do this by issuing a
        USE statement as shown in the
        example. Alternatively, you can select the database on the
        command line when you invoke mysql. Just
        specify its name after any connection parameters that you might
        need to provide. For example:
      
$> mysql -h host -u user -p menagerie
Enter password: ********
          menagerie in the command just shown is
          not your password. If you
          want to supply your password on the command line after the
          -p option, you must do so with no
          intervening space (for example, as
          -p, not
          as password-p ).
          However, putting your password on the command line is not
          recommended, because doing so exposes it to snooping by other
          users logged in on your machine.
password
          You can see at any time which database is currently selected
          using SELECT
          DATABASE().