Idon't know what you mean by first database but in your control panel go to goodies==>mysql databases and create a new mysql database. Pick a name for your database. It can be whatever you want really but i tend to name databases depending on which website will be using it just for simplicity and remembering what it is for. Pick a hostname (based on one of the domain names you have such as mydb.website.com..you can make the sub domain anything really). Pick a password for your database that you will remember but i recommend not using one of your own personal passwords should you need to get someone to help you later on (as you would need to share the database password with them so they can troubleshoot). I also highly recommend leaving something in the comment field (like mysite.com live database) something to describe what you are doing so you don't get confused later if you have multiple sites and databases.
Anyway once you have your mysql database all set up go back to your indexhibit installer and fill out the appropriate fields for hostname, database, user and password and that should be it.
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