I removed the link in your post, because a malicious person might install this application on your server so you can't access/use it anymore
you don't have to install php scripts. you just have to upload them to a public folder, and then go to that page via your browser.
I just checked your link, and i think you just have to keep pressing continue, and then fill in the required data to install the application.
You won't have to configure your database. When you signed up for the hosting, didn't you receive a database login? if not, you should contact your hosting company and ask them how you can login into your database.
Often hosting companies provide a database management tool, such as phpMyAdmin or Plesk. These application allow you to create databases and tables on the database server.