Phorum stores all its data in a database. So if you do not already have a database which you will be using for Phorum, you now need to create one. Officially, only the MySQL database server is supported by Phorum, so we recommend to use MySQL whenever possible.
If you have hosted your site with a hosting provider, you should have access to a control panel (usually cPanel or similar). There should be a MySQL database link on the main page of the control panel, and from there you can create a database. Alternatively, you could have access to phpMyAdmin. Log into phpMyAdmin using the username and password that your host has provided, and use the "create new database" function on the main page. If none of these options are available to you, contact your host and they will be able to do it for you.
If you run your own database server, then you will have to create the database and the user yourself. If you are using a control panel, like phpmyadmin, then use that control panel to create them. You can use the mysql SQL prompt to create the database by issuing the appropriate commands. For example:
CREATE DATABASE phorum;mysql>
GRANT ALL ON phorum.* TO 'myuser'@'localhost' IDENTIFIED BY 'mypassword';
Of course, for security reasons you would not use "myuser" and "mypassword" but a username and password that you made up yourself. Also "localhost" should match the hostname of the MySQL server to which Phorum will connect.
If you are unsure on how to create a database and a database user, then please refer to your system's documentation.