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    Not really: PostgreSQL has just as much support,...

    Not really: PostgreSQL has just as much support, as well as being a more advanced implementation capable of frightfully advanced operations that MySQL seems to lack, like, er, subqueries.

    However,...
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    You have to have a database server running. If...

    You have to have a database server running. If your host supports it, they should give you the address of that server and access details. Then, connect to it using the mysql client:
    $ mysql -h...
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