This usually means that your database either doesn't exist, the name is incorrect, or the database doesn't have any tables in it. Make sure that you've created the database and the database tables have been loaded into the database, and that the correct database name is specified in the stconfig.php file in the secure directory.

Also check to ensure that your user name is associated with the database. After adding a mySQL user and password, make sure to click "Add User to Database" to associate that user with the database.

Finally, check your database prefixes. On some servers (like Alabanza hosts and cPanel servers), you will need to prefix your mySQL database with your hosting user name. So if you create the user name "catuser", your mySQL user name may be "yoursite_catuser".