Are you installing locally or remotely?
step 2 is asking for 4 pieces of information:
The MySQL Server address: if you are not sure of this, contact the host.
The MySQL Server Username, usually, you create this before you can create the database, if you are unsure, contact the host, they should be able to help.
the MySQL server Password, same with the username, the host should be able to help if you are unsure.
The Database name. this is the name of the database you created.
My guess is that you are entering the correct database name but one of the other three values is incorrect.