Ask the host to make sure the dir the DB is in has all the settings needed. (a quick search will tell you what). Then run setup.asp (setup.asp link) and it should all work.
Ok so I need to ask for read/write access for the anonymous internet user on the Data base file and on the folder which would be my forum folder? Also do I need to specifically tell them for the anonymous user or can I just ask for read/write access? Thank you very much for this help?
The database folder should not be the forum folder. It's a very risky thing to allow read/write permissions, because anyone would have the possibility of hijacking your forum.
Also, there is no problem in telling them that it's that user who should have those permissions assigned.