You don't need (to install) any additional Python modules to use sqlite3.
If the database doesn't exist, it will be automatically created usually in the same directory as the script.
On running your script, I get this :-
$ ls *.db
ls: *.db: No such file or directory
$ python test.py
$ ls *.db
mydatabase.db
$ sqlite3 mydatabase.db
SQLite version 3.7.7 2011-06-25 16:35:41
Enter ".help" for instructions
Enter SQL statements terminated with a ";"
sqlite> select * from sqlite_master;
table|albums|albums|2|CREATE TABLE albums
(title text, artist text, release_date text,
publisher text, media_type text)
sqlite>
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