Hello, first you do have to enter your new database details in wp-config.php, but did you also make sure to set the new location for your WordPress installation under the “Settings” page before you exported the database? It’s a good idea to export the database before (as a backup, just in case) and after you change the location settings in your WordPress installation, then import your database at your new host and enter your new database details in wp-config.php. I hope that helps. Good luck with your site!
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Are you trying to load the WordPress site in the iframe so that you can keep your sites header? If so, you can actually incorporate your site’s header into your WordPress theme’s style and header.php files to create a seamless transition. Good luck with your site!