Newbie seeks help with PHP and MySQL

I'm new to the game of PHP and MySQL but have the latest versions of both installed along with Apache on my Win 98 machine. I'm having problems connecting to a database I know is there, an empty one that I'm trying to use PHP to add tables to. In the "die()" statement to the "mysql_select_db()" function I put mysql_error and it came out with the message that I had no priviliges to the database. How in MySQL do I get user access priviliges and how/where in the mysql_select_db() statement would you put a username and password? Thanks.