Yes, but did you create the database on your server?
You can't even run anything unless you've created the database on your server first. right there in the installation instructions:
"2. Open up wp-config-sample.php with a text editor like WordPad or similar and fill in your database connection details"
You need to have logged into your server and, depending on what your webhost allows you to to, you need to create a database, and associate a username and password for that database. Then put those items (database name, username and password) into your wp-config" file. Upload it - and *then* run your install.