What is Phpmyadmin? And run what?
Sorry for being so noobish
Your forum is in two parts.
1) The forum folder on the server where all the files are (templates, config etc) which control how the forum works and looks.
2) The database where all the tables are that hold the site information like the posts, the users, the passwords etc.
You access the database (usually) through your sites cpanel using an application called phpmyadmin. This allows you to see the tables and their contents and make changes (called SQL queries). That SQL command you see in a MOD is asking you to make a change to the database to add a table or add a new section to an existing table so it can record a new piece of information.
Say you had a MOD that added a birthday to the user profile. That's not a standard feature and the date would have to be stored in the database. So you would have an SQL command in the MOD to add a field to the user profile for the day/month/year where that info will be kept.