There are (fundamentally) TWO parts to the "engine" of your site:

1. Code files and other files (which will include images).

2. A Database, which is the repository for much of the content of the site.

Many add-ons (though most certainly not all), will need to ADD components to the database, in addition to adding to (or altering) the files.

In your case, you are showing some SQL code, suggesting that the add-on you are trying to load, is one of those that needs DATABASE modifications, as well as new (or edited) FILES sent to the server.

You will "run" these SQL patches through ADMIN-CONSOLE >>> TOOLS >>> INSTALL SQL PATCHES.

After running them, the necessary modifications will have been made to your database in order for that module to function correctly.

BEWARE! It is good practise to ALWAYS BACKUP your database before you run SQL patches.

Databases are usually backed up using tools in your webhost C-Panel interface.