For development install ClickHouse as explained here, https://clickhouse.com/docs/en/install#quick-install
For example I have downloaded the clickhouse binary in the ~/opt/clickhouse/ directory, and run it from there:
~/opt/clickhouse $ ./clickhouse server
Then run the client in another terminal, and created the database:
~/opt/clickhouse $ ./clickhouse client
[...]
localhost :) CREATE DATABASE wsn;