Ah! ok... you have WAMP!
Mysql is a server... this server has many databases (DB). You can create a DB by hand... table by table, field by field... or you can run a script.
The .sql file that you have is a script, it has commands that will create all the tables for you. So you have to run that script on Mysql environment.
Go to Mysql install folder and run mysql.exe, it will open a command line tool that allows you to control all the Mysql server. Or, you can install "mysql workbench", its a front-end to mysql server.
After the script runs sucessfully, you have a working DB!
You will need to put somewhere on PHP some config to connect to mysql (host, username and password and DB)
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