Does my database need to connect to a server? I'm very new to SQL and databases. I'm currently following this tutorial for creating a Magento website: https://www.tutorialspoint.com/magento/magento_installation.htm

and I'm on Step 4. It says to create a new database for my site (which I'm running on localhost/magento right now). I downloaded MySQLWorkbench for this, and when I click "Create new connection", I put localhost/magento into the "hostname" section. 

I'm just not sure how I'm supposed to create a database for my specific website, and if it needs to be connected to the URL. 

Hope somebody can help me out in simple terms :)
Thanks.
A schema and a connection are two different things. So, creating a new connection does not mean to create a new schema/database.

You can create a database (or schema) in your server by using MySQL Workbench. After you opened a connection to your server, you will see the SQL IDE, a page with the treeview containing your current schemas, an SQL editor and various other stuff. In the schema tree use the context menu on any node to create the schema:



After that you can create a user with only the necessary rights for that single schema. Use the Administration -> Users and Privileges section for that:



Then assign the user access rights (e.g. for SELECT + DELETE) for that new schema by first allowing access to that new schema:



and finally set the required privileges:



Note: the backslash in the priv list is an escape sequence, because the string there is used as a pattern and the underscore ('_') is used as a placeholder in MySQL. Hence it must be escape to be used literally.