Edit your config.php file and replace the values for database name, database username and password with the correct settings for your database. Those settings are provided to you by your webhost, or setup by you through your web hosting control panel.
For example, code used with PHP to connect to a MySQL database:
PHP:
$dbuser = "database username";
$dbpass = "database password";
$dbname = "database name";
$dbhost = "localhost";
mysql_connect($dbhost,$dbuser,$dbpass);
mysql_select_db($dbname) or die("Unable to select database");
Replace the values for the first three lines with the correct settings for your database.