Garry,
It's possible that you didn't enter your MySQL information correctly into config.php or you didn't set up the database, username, and password correctly in your control panel.
One common mistake is that on some servers you must first create the database, then the username/password, and THEN a third step, add the user to have permissions to the database.
It's also possible that you ran the install script and created the tables already. If this is the case you should be able to login with the password "install", see the default program settings and be able to change them.