I need help setting up a mySQL database!
If the mySQL connection information saved in the calendar config file is correct, the calendar script will install and configure the SQL table automatically (you'll be prompted to do this). If you receive any errors during this process, it is a configuration problem with the server and/or the details entered in the calendar configuration for the database connection.
Since there are so many possible configurations for web server/mySQL installations, your web host provider would be best at troubleshooting this particular problem.