Can you give us more informations about your OS, PHP, Database?
Go to settings/site.ini file and set DebugOutput=enabled, to see what errors do you have in "Database configuration" step. If you are running MySQL 4.1 make sure that is set old-passwords variable in my.ini or your database user password is encoded with OLD_PASSWORD function.
mysql> UPDATE mysql.user SET Password = OLD_PASSWORD('newpwd')
-> WHERE Host = 'some_host' AND User = 'some_user';
mysql> FLUSH PRIVILEGES;