I am still a noob, but here is what I did:

I used the MySQL gui tools to create a database (Merryman guide) 

I filled out the mysql_connection.ini.example and changed the extension to ini

I changed all the necessary entries in OpenSim.ini  (followed Merryman and other guides)

storage_connection_string="Data Source=localhost;Database=(name);User ID=(user);Password=(password);";

inventory_plugin = OpenSim.Data.MySQL.dll
inventory_source ="Data Source=localhost;Database=(name);User ID=(user);Password=(password);"; 
userDatabase_plugin = OpenSim.Data.MySQL.dll
user_source ="Data Source=localhost;Database=(name);User ID=(user);Password=(password);";
asset_plugin = OpenSim.Data.MySQL.dll
asset_source ="Data Source=localhost;Database=(name);User ID=(user);Password=(password);";
 

obviously I put my real database name where (name) is, and likewise for (user) and (password).

If it was me having problems, I would worry that I had not created the database and user yet, or that I left "example" as the file extension, or changed msSQL instead of MySQL, or missed one of the places in OpenSim.ini that I needed to change.  I also miss " ; " sometimes where it should be (or put it where it should not be).   That is the sort of thing I do.

Hope you have better luck!