Did u start the MySQL Server?
If so and that error exists, then did u made the DB for the PhpBB2?
If u made that too and your error pops again, then it's becous, may be your firewall is blocking the connection attempt!
Im sorry, but i g2g to school right now, so the installation is actualy very easy! PhpBB3 can use the PhpBB2 DB, so u need MySQL 2000 or above, restore the DB (like u are making your MuServer), and then just put the site files in a different folder in ypur "C:\xampp\htdocs\" (if u use Xampp) or "C:\Apache\www\", make a no-ip domain to that folder and voala .::More Info Here::.
I've never used PhpBB Forums so read the Quick Install Guide in the link from my last post
My bad... PhpBB doesn't need restoring a DB, just point yourself to the install/index.php
and follow the instructions