The does indeed mean the command-line tool psql, but you could just as easily create the database from within PgAdmin-III's GUI. Just right click on "Databases" and then "New Database". Or use PgAdmin-III's SQL executor window to run the CREATE DATABASE command.
Personally I recommend getting familiar with psql. Some things, like \ commands, will only work in psql. People keep on trying to run \copy, \d, etc in PgAdmin-III and getting confused when it doesn't work. psql is also - in my opinion - a lot more productive once you're used to working with it. Even if you regularly use PgAdmin-III you'll want to know how to use psql for some things like loading an SQL-format dump, so you might as well get onto it sooner rather than later.
(BTW, that site is ... weird. I've never seen it before, it has masked data in whois, there's no contact info or information about who wrote it, no apparent commercial links. Interesting.)
Consider reading the official postgresql tutorial; it tries to explain more, rather than just giving step-by-step instructions. It also requires a bit more understanding though, as it's written more for Linux/unix users and contains install instructions that won't apply to you on Windows.