>No databases are generated for me to choose from.
Databases? Do you mean tables? We need more information. Which version of DW and what OS? What version of MySQL? Have you created user tables?
FWIW, the only reason you need to connect to the database from DW is if you are using the server behaviors. You do realize that development of DW server behaviors have been discontinued and have not had an update in many years? They are obsolete, buggy, create overly complicated code and very limited in functionality. If you are planning on doing any real development work, I'd suggest avoiding them completely. Either code by hand or use a 3rd party tool.