In order to solve this issue follow these steps:

1. Open the MySQL dump with a text editor on your local PC / MAC;
2. Delete the line saying "CREATE DATABASE yourdbname". Usually this line is found at the very beginning of the file;
3. Save the file and try to import it again.

This problem is caused by the fact that your MySQL user does not have privileges to create new databases. Databases can be created only through cPanel's MySQL manager.