I've setup a few WP sites before so feel free to ask any questions on it.
The most complicated step is getting the database setup. All you need there is to create a separate database on your MySQL server (I usually call it wp_blog). Give all permissions on that database to a dedicated WP user (something like wp_user). The naming conventions are purely for convenience, so feel free to use something less obvious.
Next step is uploading the wp-config.php file to your base Wordpress directory (assuming you already put it on your server). Just change the information in the default one to match your database information:
Code:
// ** MySQL settings ** //
define('DB_NAME', 'wp_blog'); // The name of the database
define('DB_USER', 'wp_user'// Your MySQL username
define('DB_PASSWORD', 'wp_password'); // ...and password
define('DB_HOST', 'mysql.yourserver.net');
Once that is done, just navigate to your word press site and follow the install process.