Does anyone know what MySQL is and how I can find it?
It's a database to store information. You can also use google. Plus there is a link to mysql in the forum footer.
If you're webhosted you can't install it anyway, your webhost has to give you access to mySQL. If they don't, there's no use in asking for it: budget webhosting often doesn't come with mySQL, but most webhosts offer a more expensive contract that comes with mySQL as well. If you're self-hosted, it's recommended not to install this for yourself, as you appear to have little idea about server setup anyway. In fact, you shouldn't run your own webserver publicly if you don't have a clue what mySQL is.
Joachim