Problems moving domains

I have the following site.

http://www.advertsports.com/blog

I need to move this to

http://www.kh.org.au/blog

1stly I went into the admin of http://www.advertsports.com/blog and changed the urls in options to http://www.kh.org.au/blog.

I have moved all the files across to the new host. I don’t need to change the mysql details in wp-config.php because I am keeping it where it is (e.g. I am not moving the mysql database to the new host).

I have editted the mysql database and replaced all instances of http://www.advertsports.com/blog with http://www.kh.org.au/blog and reimported.

But I still get the error : Error establishing a database connection