im guessing you mean mySQL...?
To install mySQL you need to have root/admin access to your server. If you do, then you can download the correct version from http://www.mysql.com/
, either the .exe for window based systems or the rpm for linux.
If you dont have root access to the server then you will need to contact our hosting company and ask them to install it, but this might require you upgrading you hosting package.