I am installing v2.2 and am having the same problem. I talked with my hosting server people and they tell me that the “localhost” is good and to use “my_Database” or “my_wordpress” for the DB name yet neither one works.
Where to go from here?
Help.
PS: I built my database thru the cPanel mysql database wizard, then checked it and made sure that it was really there. PHP is so much fun.