Hmm there seems to have been a blip with your install - not sure why. My advice would be to go back through /setup and see if it works this time. Follow Ron's advice above and see if database.php is written to root before moving page3->page4. If not then copy database.txt from /setup to / and edit all 5 placeholders manually with the correct values (5 might just be "")
Then change the extension from .txt to .php and go back to the setup pages and submit page3.
We aren't sure why this happens (albeit very rarely) and are investigating, so any warnings that you see on the setup pages may be relevant and we'd really appreciate if you could feed them back to us.
Regards,
John