Generally, when a host says they "support" mySQL, they already have it installed. As far as how to "set up an account", I assume you mean create a DB.
Hopefully, they have phpMyAdmin istalled. This makes the process easier for a newbie. If they don't you'll have to login to the server (ssh / telnet) and set up a DB from the command line. Find out what your host offers, let us know, and we'll help you set up a DB.