Upgrading - questions about database

I'm looking at step 4 in the Read Me:

4. Then create a new database and load your old database in it

Is there somewhere where this step is fleshed out more - new database where? how? Is this done through ZC admin, or done through my MYSQL back-up utility? What is meant by "load your old database in it"? Does that mean restore the new DB with the old DB or something else?

Thanks for the help - I tried this upgrade back at 1.39 and got stuck at the same place, finally gave up, but I'm trying again.

To give clarity on the concept of creating a new database, I would direct you to the Implementation Guide found in the /docs/ folder of the 1.5.0 zip.
To do an upgrade, you need to first do a NEW install of Zen Cart. That includes creating a new database, etc. Those concepts are explained in the implementation guide, and if you need help using your hosting company's tools to do that, you will need to contact them for that part.

Once you've got the new Zen Cart site up and running (in addition to your main live site), then you can continue with the next part of upgrading which involves importing a copy of the data from your live site's database into this new/test site's database.