Ok
You must:
1. Install and setup a Mysql Engine
2. Create an enpty Mysql Database in your server
3. Start the phpBB installation and configure the software answerng to the install questions. The name of the database must be the one you created in issue (2). The names and passwords for the users you specify for admin in phpBB2 install must be names of working mysql users. For the first time try to use the Mysql administrative user who has top privileges and does not (or should not) provide security exceptions.