Login to your Parallels Plesk Panel.
Click on the Domains link on the left panel.
Click on the Open in Control Panel link next to the relevant domain name.
Click on the Website & Domains tab.
Click on the Databases icon.
Click on the Add New Database icon.
Enter the database name and click on the OK button.
You have now set up a database on your server, You will now need to set up database users.