How you make the database is depending on your hosting provider. Usually they have web pages to allow creating your db and your db user and then you put the db servername, the database name the user name and the user password in the connection string. The connection string setting is in Web.config, its just a text file so open it with a text editor edit it and then upload it again. The setting you want to edit is MSSQLConnectionString, if you want to get a little more advanced you can put it in user.config as mentioned on this page and it makes upgrading later easier.
Your hosting must be configured for ASP.NET 2.0 or higher.
So after you upload the files and create your database and edit your connection string, visit the page yoursiteroot/Setup/Default.aspx, actually just visit your site and it should go there automatically. The setup page will do the rest or tell you if there are any problems.
Its NOT a requirment to have a "Powered by mojoPortal" link at all, but is appreciated. However, most of the designers whose designs were used to creat the included skins DO REQUIRE you leave the link about design by... I don't know how heavily that gets policed but thats what their license for the designs require. If you end up with your own custom design then you don't need that link either.
Hope it helps,