Create Database For States, Counties, Cities and Zip Codes in PHPmyadmin

I have been trying to understand step by step on how to create tables using phpmyadmin in the following order:

States - Counties - Cities - Zip

I created the States without a problem but now I'm trying to add Specific counties under specific States, and some cities under specif county..etc. It's like this:


I have an SQL Dump file but it's very messy. Any help would be appreciated. I'm clueless when it comes to php. Thank you!