Anthony, can you provide screen shot of the notice you get on the installation step where you are asked to enter your DB details?
Most likely you are just entering incorrect DB name, host , username.
Some tips:
1. Try using "localhost" as your host name.
2. Make sure that there aren't any empty spaces before/after your DB name, DB user and password.
3. Open your cPanel >> MySQL databases >> make sure that you are using correct DB name, DB user and of course password.