Based on your question, I'm going to go out on a limb here and assume you purchased hosting instead of running your own in house server. Since most companies set you up with an entire LAMP (Linux, Apache, MySQL, PHP) stack when you purchase it, you may not need to do anything.
The first thing I would do is upload a php info script. This will tell you if PHP is already configured to have MySQL support. If this is the case, there's no sense in reinventing the wheel.
You can do this with something as simple as:
Code:
<?php
phpinfo();
?>