Your website’s database.
MySQL is an open-source database that’s nearly always used for WordPress (unless you’re trying to install WP on windows, which we’re not really sure why you would, but people do so for some strange reason).
A database is a collection of your site’s data, in simple terms. MySQL just creates a database for your site, used for storing and manipulating such as changing user details.
You can make requests via MySQL and this will then appear on your client-side, once the server has responded.
My SQL is really popular with developers as it’s secure and has good performance reviews. It also is easy to install, making it the preferred choice.