You are confusing things here. Creating a model from a script is a process where meta data is examined and a model is created that you can then use to modify your schema structure, further design your db objects and all that. Modeling is a design process for the structure of your schema/db so it only deals with meta data. It's also used for documentation (e.g. in teams).
On the other hand there's normal sql work with existing db objects and/or actually creating/deleting/modifying db objects. In order to do the latter you must have an understanding of the design of the schema (which you could get by using the modeling part of MySQL Workbench, but not only by that). This is also the place to load a script, run it to insert data and such.
The error you mentioned regarding the connection is yet another problem and you need to solve this first to be able to even access your server. And yes, you have to install a server first somewhere. MySQL Workbench is a tool to visually work with your server(s) in opposition to the MySQL command line client which is a pure text interface (but still also a client application for your MySQL servers).
If you are on Windows and want a MySQL server installed locally (e.g. for testing) your best option is to download the MySQL Installer which greatly simplifies installing any of the tools from the MySQL family (server, client tools, connectors, documentation and more).