Ardy, Pipe is totally right: Please don't post links to files on this forum, especially executable ones. It's a danger to the rest of the users.
Quick overview on what you need to know about what's happening:
You don't have a mysql server on the same server as your web server.
So, you need to login to your VPS control panel, look for a databases option, and create one. On that page (somewhere) it'll have an IP or hostname. Sometimes it's a public IP address and domain, sometimes it starts with 10.x.x.x
What ever that is, once you create the database, enter the hostname/IP into your wordpress setup.