You can edit this adress in header.inc.php,

$db['host'] = 'database_host';
$db['sock'] = 'database_sock';
$db['port'] = 'database_port';
$db['user'] = 'database_user';
$db['passwd'] = 'database_passwd';
$db['db'] ='database_navn';

Default 'database_host' are localhost when you install Dolphin, you have to change this to your correct server name,
I think if you use GoDaddy you can't use localhost.

If it not work well when you have edit your header.inc.php see more file, you may probely install it again and write the correct address/name when you install it!!
Hope it help you!!
Ottar.