kryptonyte said:
If you bought VBulletin and don't know how to set it up you are either stupid or your "friend" gave you a nulled script which are illegal and you could get in serious trouble for it. And like everyone above me said simply go into the MySQL section of your Cpanel and create a user with a pass and also link it with your database you created.
Although this has been answered already ( the inital question ) I just wanted to point out the rude comment that was tossed in with the answer.
I know squat about various MySQL, PhP, HTML ... so if I was to spend a ton of money on a software - they do come with installation help ... but its nice to have someone that understands it help me.
Personally, being called stupid because you don't know how to install something is a bit harsh.