Hooking up an localhost server to run SQL on?

So basically I tried using PHPStorm's SQL thing to be able to test my SQL code. However it seems I must have done something wrong as it can't connect to the database. What's even worse is I have no clue how to get back to the menu to configure. I just really want to get this all working. If this isn't enough information to understand what I mean, please let me know. It's kind of hard to explain when you don't know how to get back to the menu.

https://i.gyazo.com/472ff18568827ac57aed7fe30826c01c.png