Please help. I need to create a database name (shop_data) but Can,t . Is this name possible or are underscores not allowed ?

I do not believe underscores can be used. Also, your database name isn't going to be exactly what you want it to be as it applies your web site username, the subdomain you have it hosted on, and then whatever word you wanted to refer to it by.

For example: If your site was misterm.zxq.net an you wanted to call the database shopdata, then he end result for the database name would be misterm_zxq_net_shopdata.

yes you cannot add another underscore.