Setup form will be displayed. Fill form with your database details. For database name use same name that you created in step 1.
If everything provided correctly script will be installed.
Please delete config.php because script need to create database tables when installing. Script checks for config.php file. If it exists then you will not see installation page.
“DB connection error” means your database details “Database Name”, “User Name”, “Password”, “Database Host” (usually “localhost” will work if it is on same server). Are not right. Check if you can connect to your databse with other software like http://www.heidisql.com/
Let me know if you connect with heidisql and cannot connect with classibase.