mySQL 5.0 NO database selected Error when trying to create a table

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mysql> create table Category ( ID int unsigned not null auto_increment primary k
ey, Category varchar(15) not null, CategoryID int unsigned not null, Isle int un
signed not null, unique(Category, CategoryID) );
ERROR 1046 (3D000): No database selected
mysql>

I set up mySQL sever to create an annynomius user so I wouldn't have to type a password and username in because I'm only going to be using this server locally on this machine.

Any ideas how I can select a database first? Or how I create one?
Thank you.