phpBB3 and new hosting provider

i’ve been trying to install phpBB3 to my website but its not working at all. At the install screen where it asks for the database name and database location I get an error
Can’t connect to local MySQL server through socket ‘/tmp/mysql.sock’ (46)

i have looked through many solutions on the web, and have found out that because my website is hosted by Yahoo! that they could be the ones causing the problem. I have tried creating an new database to use for it in phpMyAdmin but for some reason I can’t give myself any privilieges to create a new database or to reload the privileges. this is all really confusing for me as i am completely new to working with a database.

I’m beginning to think I should switch to another host other than Yahoo! but I have a two questions.

  1. How hard is it to do and
  2. Will my WordPress blog still work or will I have to recreate it all over again