You need to do that from the Unix Shell, or from an admin program such as PHPmyAdmin

You issue a command to the MySQL engine through the mysqladmin program:

/path/to/mysqladmin create new_database -p password -u username


I've had a problem using the -p and -u on the command line, so you might have to try it just adding the -p -u without the actual passwords and let it prompt you. This is more system specific quirks in how user information is passed by the shell to the process, so you just have to see what works on your Unix.