Which database window do you mean? During the installation you first get a window which asks you for the suer and password for your database. The almost at the end you get a window which asks you for the names of the site accesses and for the name of the database. In this window one database is most of the times preselected, but you can choose another one using the select box. It does not matter whether you are on shared hosting or not.
So please explain exactly where you problems. If you get an error message pleasepost htis as well. Also please tell us which database you use (MySQL or PostgresSQL).
Claudia
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