Unzip the Wordpress package you downloaded. Using a text editor, open up the file named wp-config-sample.php. You will have to edit a few lines in it.
define('DB_NAME', 'putyourdbnamehere'); // The name of the database
define('DB_USER', 'usernamehere'); // Your MySQL username
define('DB_PASSWORD', 'yourpasswordhere'); // ...and password
define('DB_HOST', 'localhost'); // 99% chance you won't need to change this value
Input the information you took down when you created your database into the sections in bold. Save the file, and rename it to wp-config.php.