Notice this part of the message:
"Please manually create your database and then try again."
What happened to you is fairly common. In fact when installing a site at a new host, I always create the MODX database first.
This blog post (and the others in the series) may help:
http://bobsguides.com/blog.html/2013/03/24/installing-modx-part-ii/
discuss.answer
Thanks Bob. I had actually set the database up first, which is what confused the guys at the hosting company. I had to do a re-install and this time it worked.
I'm glad you got it sorted.