its all in permissions. you may have to manually create a db account for each user, but after that is done the rest should be trivial.
The easiest way to get started would probally be
http://www.phpmyadmin.net/home_page/
Unless you have quite a number of users, then it might be quicker to write some kind of script. either way, phpmyadmin will make your users lives easier.
I really suck with databases, hopefully if there is a better way, sombody will speak up.... but I know with the interface I have set up with phpmyadmin I could create the setup you are looking for.