for your first question :
you have to create your data base manualy if your scrip have only tables shema and open new query window and run it
for your second question :
from sql server managment studio you have to do Generate script in Tasks then choose your tables then in Advanced there's Type of data script
you have to shoose Schema only or data or Scema with data
More explanation
I found this link to explaine generate script, and in the window of Choose Object
you can select Select specific database objects
and select only the tables you want