What database engine are you using? MySQL, Access, or what?
If you're trying to use Access (which I gleaned from your .mdb name), then I believe you're SOL.
Hell, if this package was able to talk MS SQL, I'd have purchased it for another org that I am in charge of forums for...I *hate* ASP based forums...this is a nice engine.
If you have MySQL set up, you need to create a database and give permissions to the user you configured for the forums (mine defaulted to 'nobody').
bryan