It might sound a silly question, but have you actually installed MySQL on your machine ?
It sounds like you are thinking of SQLite as that is basically just a single file.
I tried to find a complete tutorial on how to use sql with b4j but I just found superficial tutorials,
If I understood, I have to configure the server, can you tell me how? is there any link I can follow?
everything is in place if your database is in the same computer you are launching your b4j app, you are only missing the user and password, for the sake of simplicity its better to write it like this