Hi there,
Am feeling your pain!
Which part of the database setup screen do you think it was sticking at? There was:
Host Name
Database Name
Database User Name
Database User Password
Are you going through the set up after uploading the files to your remote server, or are you trying to set it up from your local site using a testing server?
How do you normally access your mysql database, - can you check your mysql database name and password from your hosting account control panel?