despite the fact that chatbox scripts are against TOS I will give you some info...I am assuming this chatbox is php based? if so you should modify a config.php located in the scripts directory (the script its self should contain intructions) you will first however need to actually create a database (you can do this in cpanel) and a user (also in cpanel) the information about the database is what is required by config.php.
my example for you, if you made a data base called chat and the user for that data base chatusr then in the config you would enter
username:megasonicx_chatusr
password:megasonicx_chat
I hope this helps