Were you able to connect to the database during setup? If not the database credentials in the core/config/config.inc.php file may be incorrect.
Another possibility is that the PDO extensions are not be enabled on the server, though I think Setup will usually report that.
To check, you can put a file called info.php at the root of the site with this content:
Then, visit that page at http:yoursite.com/info.php
Don't forget to delete that file when you're finished -- TMI for hackers.