You can create and remove databases in Websites & Domains > Databases.
You can create a database by specifying its name. If your subscription grants you the corresponding permission, you can choose a database type and the database server on which the database should be created.
You can select a website on which the database will be used in the Related site box. This is convenient if you have a lot of sites and databases because you will see which database is used by which site right on the Databases page.