does it need a database? some scripts can write to a file instead of sql. if it does need a database and there is no install.php to create one,i guess your SOL.
Like it has already been posted here, there are a few scripts that do not require a database. It's possible that the database is a file within the script. Post more details about the script so that we can help you: Script name: What does the script do: and what's the website that distributes it?