This topic has been answered quite recently.
Please use
search in the future.
However, here is the answer to your question (snagged from a previous post):
Run mysql.exe
Type:
create database eq; [Press Enter]
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As for your connection problem, Make sure you're using the latest patched version of EverQuest. Also verify that you are NOT running any firewalls\proxies as these can interfere with the connection to the server.