I'd love to give you a screenshot, but I can't access my server right now. If you're trying to install Wordpress via the Application-option in your domain option (hopefully this goes for every possible panelview, since I've been using the Reseller/Hoster option) you get to chose the apps and have basically two buttons. One simply says "install" while the other is a little arrow - clicking this gives you the option to install user-defined (or custom maybe, I'm using the German version). Then in the next panel, after accepting the terms and such you can expand another textlink at the bottom and you'll have the options to customize your database settings.
As soon as I get access to my Server again (as long as it still runs Plesk, I'm currently having different troubles with it e.g. not even being able to install any of the applications and might get it reset without Plesk), I'll get the screenshot.