You tell Bugzilla how to connect to the database server in the localconfig
file.
$db_driver = mysql
# The DNS name of the host that the database server runs on.
$db_host = localhost
I believe with MySQL you can also directly connect via a local socket. Be sure to follow the Bugzilla installation instructions for setting up a database, a database user and password for the connection to use. The tables will be set up automatically by Bugzilla's setup scripts.