Okay, for the bit about creating the tables, these should be the steps - in continuation of what has been said before. I'm going to assume you're using phpmyadmin (which you will also find under the databases section in the control panel).
I'm assuming you already have a "database" called pagecomments or whatever - navigate into it, click on the import button, and upload the .sql file - one that you should have in your collection of files in the zip archive. Here's how it'd look:
Step 1, Observe - on the left hand side, the list of databases - if you have created one using your control panel, you should find it here.

(Note: you can click on the image to see a larger version.
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Step 2, Go to the database so that you can add a table:

Step 3, Click on the import button:

You'll be asked to browse for a .sql file - the one you should upload is the one that is there in the .zip archive.
Finally, you have a db_conn.php file, which tells the script how to connect to a database. You'll have to open this file in a text editor of your choice (notepad, gedit, whatever) and edit it appropriately. Most likely it is commented, so you won't have trouble - it typically looks like
Code:
$sql_user = "username"; //Replace username with your SQL database username
and so on - as you can see, pretty self-evident if you remember the details that you used when you first created the database!
Now upload all the files in the zip archive to your website, and you should be all set
Good luck!