Did everything get stuck there, or are you asking whether to proceed? If the automatic part did/does not work, you "simply open wp-config-sample.php in a text editor, fill in your information, and save it as wp-config.php."
// ** MySQL settings - You can get this info from your web host ** //
/** The name of the database for WordPress */
/** MySQL database username */
/** MySQL database password */
To do that, you will need FileZilla or something similar and an FTP (or preferably SFTP for better security) connection.
note: When you are finished with that, you can set permissions for wp-config.php to 0600 or even to 0400 for added security in relation to that sensitive info.