Hello im having some issues installing php nuke:

Ill start off with some info. I just got web hosting from www.afmu.com I registered a domain. If anyone has used this web host before they use the cpanel to do all your stuff. One of the categories under there is MySql database. I created a database under there and everything seemed alright. I did notice that is says something about dbhost="localhost" why would it be localhost when im using a webhost?? I edited the config.php and left the dbhost as localhost cuase i dont know what else would go there. When i point my brower to mywebsite.net/nukesql.php it brings up the page that says click here to run test. When i click on that it doesnt do anything. Im confused on what is wrong.

Can anyone help?
Thanks