No, MySQL databases doesn't store any files on your on your site itself, its closer to the server root, you don't have direct access to it. You can only query the database.
I can't help with that one, I use phpMyAdmin or scripts to access data databases.
To connect remotely to your MySQL database use the ip address of the server. To connect locally use "localhost" (locally as in files on your site that connect to the database).
The username and password are different from your username/password to login to cpanel. It is created by you on the same page you create your database.
The generated code is php code to connect to your database. You have to connect to the database before you can query it.
Heres some php and mysql tutorials
http://www.tizag.com/phpT/ http://www.tizag.com/mysqlTutorial/