Hi,
hmmm...you probably need to create a database via phpmyadmin with the name "modx" (or whatever) yourself first, the installation will then create all your tables (with the prefix "modx_" ).
hope that helps, j
This normally indicates that the database user does not have permission to create a database. In this case you need to do as sharkbait suggested, create the database before running the installer which will then create all the tables.