After some searching on WordPress.org and Google I still have found no answer as to why WordPress can't select the database on a server running mysql 5.0.18. My ISP has several servers some running mysql 4.x on which WordPress runs fine, and some running mysql 5.0.18 on which I can't get WordPress installed.
I'm ABSOLUTELY sure that there is no typo in the wp-config.php and after an e-mail to my ISP they assured me the database is ok and that probably WordPress is causing the problem like some other forum software e.g. Joomla that is not running without problems on mysql 5.x.
Several messages on the forum though state that WordPress 2.0.1 and higher should run on mysql 5.x (in strict mode) without problems.