In order to set up your database, you can use whatever MySQL client you like. Some examples here.
We will assume that you already know how to perform the basic tasks like creating a new database, selecting a database and importing a SQL dump file. If you don't, don't worry: it's very easy and you will find a lot of guides on Google, whatever MySQL client tool you're using.
Create three empty databases:
The SQL files are located under
data/sql/base there are the files to create the base structure & contents for the 3 database (world, auth and characters).
data/sql/updates there are the updates that our developers add with time.
Importing those files manually one by one is a long process that can be automated. The script
apps/db_assembler/db_assembler.sh allows you to assemble those files (i.e. merge them together), so the process of importing them will be faster.