Your server running Plesk offers built-in tools to install both SQL Express, as well as myLittleAdmin.
After installing SQL Express, you can create databases by going to the Database tab.
If you installed myLittleAdmin, you'll want to make sure it's set as the default admin panel for MSSQL.
You can access myLittleAdmin by going to the Databases tab, and then clicking Webadmin next to the database you want to use.