yes, you need to install mysql and not just the extensions (dlls)
there is a binary install package for windows available that will handle that part for you

now, it looks like you have mysql.. then the next part is to PRE create a database..
call it oh.. ubbthreads ? then ensure that you create one user that has privs.. and poof..
you fill in that db, with user name and psw.. also you use localhost ast the database host..