First, if you are unfamiliar with the command line, try using phpmyadmin from your webbrowser. This will make sure you actually have a mysql database created and a username.
This is how you connect from the command line (bash):
mysql -h hostname -u username -p database_name
For example:
fabio@crunchbang ~ $ mysql -h 127.0.0.1 -u fabio -p fabiodb