All those acronyms can be confusing until you’re using them every day.
FTP is the protocol which you would use to upload your files to the webspace – using an application such as filezilla.
I think you may be getting confused with MySQL which is the database system required by WordPress. Your web hosting comany should provide instructions on how to set up a database on your website. If they don’t, then it could mean that you have a hosting account which does not include databases. If this is the case you, need to upgrade to one which does.
These links may help:
https://codex.www.ads-software.com/New_To_WordPress_-_Where_to_Start
https://codex.www.ads-software.com/WordPress_Quick_Start_Guide