I have my websites hosted and I access by Plesk too, or ftp!
You just need to place the install package files on httpdocs (If you want to runt it on the root directory, I guess you do), Plesk makes it very easy to create an MS SQL or MySQL database depending on your host!
So just create a database and define a user, this user will be set has owner if all goes well, if not ask your host to change it for you!
In the first install you will get a wizard where, it will check for file permissions and allow you to setup the database parameters, this is where you must "point it" to the database you've created and enter the user and password you choose! the server is in most common cases "localhost" but your host can confirm that (or just check it on plesk when you add the Database you have to select the available SLQ servers, but like I said in most cases you only see localhost)
If this wizard is not showing up you downloaded an upgrade package and not and install!
If you have a release.config file and no web.config, then its an upgrade package for sure!