Well my experience is that MySQl is a database format. My provider activated it for me, and created a database (empty) for me to access via my software. The rest is to be seen. I was testing a program, and so far no time to explore it more.
mySQL databases aren't held in a certain directory. I don't know too much about it though. mySQL is a program similar to Access. All databases are held in it though. It is not kept seperate in your ftp account.