What should happen is that say your main MODx database is called 'modx', the Auditor installation screen will assume that your history database name is called 'modx_history'. This database must exist of course. You can change this if you wish BUT if you change it to be the name of your main MODx database ie 'modx' say it will trash this database. This is a good catch

, something else for version 1.2, I'll check for this and stop it.
As for permissions, your history database needs the same ones as your main MODx database for your user but it needs more permissions to install the triggers, this varies depending on your MYSQL version, see the document database_setup.txt in your Auditor directory for more detail here
The easiest thing to do here is just create a databse, the same name as your main MODx databse with '_history' appended.