Yes, for dynamic Data Development, the Deprecated Server Behaviors extension needs to be installed.
This isnt so much a requirement for Data Bridge or Design Extender as it is for doing any sort of Dynamic development.
what extensions do you have installed?
Make sure you have the latest version of Design Extender and Data Bridge.
I sugest installing in this order:
free Tools 1.0.5
Design Extender 1.1.5
Data Bridge 1.1.4
the keys to making a database connection are to properly define the testing server in your site definition.
On your host, log into the MySQL Database using phpMyAdmin, make note of the host name that is listed in the upper left corner, use that as the host name in your DB connection, and the user name and password combination you set up in the sites control panel.
If you getting errors about being locked out, I would suggest contacting the host for assistance.