just create your database itself by naming it from the mysql prompt
mysql> create database mynewdatabase;
mysql> create table newtable (
mysql> LOAD DATA INFILE 'fullpathtofile.csv' into table newtable fields
delimited by ',' optionally enclosed by '"';
some things to note:
at the end that is a double quote enclosed by two single quotes. Most .csv files put double quotes around text. The delimited by is also standard since most files will have fields separated by commas.
make sure the fullpathtofile is correct either under linux or windows style (i.e. the slashes for filepaths are / or \ depending on what OS you are using). In Linux you must also make the file readable by your database, actually world readable doesn't hurt.
the mysql> does not need to be typed in. It is just there to show you that there are different points when you begin a new command.