Do step-by-step exercises 3.5 and 3.6 with the students to demonstrate how relationships are created in the database. This will visually emphasize to the students what those relationships accomplish.
Emphasize the advantages of using Primary Keys in a table as a way of (a) uniquely identifying rows, (b) relating a table to other tables, (c) enforcing entity integrity. Also note that there are other ways of establishing this relationship, namely by using a Unique Key.
Do step-by-step 3.8 with the class to show how the server configuration options are set. A brief explanation of each as you point them out on the dialog boxes may help fix in the minds of the students where they are, and what they do.
Choose a database, and do step-by-step 3.9 to demonstrate setting database options. Again briefly explain each option.
Have the students do the "Apply Your Knowledge" exercises in the classroom. Have the students participate in explaining what each line of the Create Database and Create Table commands do.