After connecting to a Mongo server instance, you can open a contex menu by right-clicking on the server connection with the mouse. You will see the option "Add database". Choose this and a popup window will appear and asks you to enter the name of the database. With a click on the "Save"-button the popup window is closed and the database is created.
When creating a database you need to take care of MongoDB's naming conventions and the database does also not exist on the server.