| Have you created a database in your hosting control panel? |
I'm having this same problem, and I've already created the database and user.
I can query the database, create tables, etc. through both PhpMyAdmin, and straight through a PHP script (using mysqli).
I can't see any reason why it won't work.
I've tried both AdoDB, and Pear::DB.
It's a Linux host (CentOS) with PHP 5.2.1 and MySQL 5.0.27
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